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CHF/USD
DKK/USD
JPY/USD
USD/GBP
GOLD/USD
Constant volatility with normal innovations
Constant volatility with Student innovations
GARCH(1,1)
EGARCH(1,1)
Aff-FIGARCH
Long Memory Affine Microscopic ARCH
Long Memory Affine Aggregated ARCH
(param.set 1)
Long Memory Affine Aggregated ARCH
(param.set 2)
Long Memory Affine Pure Aggregated ARCH
(param.set 1)
Long Memory Affine Pure Aggregated ARCH
(param.set 2)
Market-component Affine
Aggregated ARCH with EMA
Market-component Affine
Aggregated ARCH with MA
Market-component Affine
Microscopic ARCH with MA
GARTCH(1,1)
Long Memory Affine Microscopic ARTCH
Long Memory Affine Aggregated ARTCH
(param.set 1)
Long Memory Affine Aggregated ARTCH
(param.set 2)
Market-component Affine Microscopic ARTCH with MA
GARCH(1,1) with SV mean
Long Memory Affine Aggregated ARCH with SV mean
multiplicative GARCH(1,1)
multiplicative Long Memory Affine Microscopic ARCH
Exponential 1 component stoch.vol
Exponential long-memory stoch.vol
Exponential long-memory stoch.vol
(indep.comp.)
Heston stoch.vol. with Gaussian residues
Heston stoch.vol. with Student residues
Long memory Heston stoch.vol.
Regime switching with 2 states
Regime switching with 3 states
Minority Game
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Index page
Pdf for the return, volatility and volatility increment
Moments for the pdf
Relative excess kurtosis for the pdf
Lagged correlation for |r| and r^2
Lagged correlation for vol, ln(vol)
Correlation with the realized volatility
Correlation with the centered volatility increment
Trend and leverage effect
Fine grained versus coarse grained volatility
Centered volatility increment conditional on the historical volatility
