New method reveals best model for capturing volatility dynamics in markets.
The article explores how volatility in financial markets behaves, focusing on its asymmetry. By analyzing high frequency option-based data, the researchers found that volatility jumps show a specific pattern. They also developed a model that accurately captures volatility dynamics using price data alone. The study suggests that volatility movements are best described by a specific type of mathematical model, which simplifies the commonly used methods for predicting market volatility.