New stochastic volatility model captures market behavior with multiscale precision.
The exponential Ornstein-Uhlenbeck stochastic volatility model shows different time scales in volatility patterns. It also displays a relationship between volatility and market trends, making it more comprehensive than other models. The model's stationary volatility profile aligns with real market data. An approximate solution for return probability density is presented to capture kurtosis and skewness effects.