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发表于 2009-7-23 02:17 PM
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In the field of time series, it is called ARCH or GARCH or *ARCH model;
In mathematical finance, quantitative finance, or continuous stochastic process, it is called Stochastic Volatility Model (SVM).
In simply, it says, the volatility , or variance (u can take vix as a example) is changing with time (the classical B-S-M model assumes it as a constant long long time ago). Is that a "FeiHua"? |
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