KAIZOJI, TAISEI; KAIZOJI, MICHIYO - In: Advances in Complex Systems (ACS) 06 (2003) 03, pp. 303-312
volatility satisfies a power law with an exponent close to 4. On the other hand, we investigated quantitatively the return and … the volatility of the daily data of the Nikkei 225 index from 1990 to 2003, and we found that the distributions of the … returns and the volatility can be accurately described by the exponential distributions [11]. We then propose a stochastic …