En esta primera entrega ofrece algunos conceptos claves sobre volatilidad como este:
Mean Reversion vs. Momentum
A puzzling feature of much of the literature on volatility is that it tends to stress the mean-reverting behavior of volatility processes. This appears to contradict the finding that volatility behaves as a reinforcing process, whose long-term serial autocorrelations create a tendency to trend. This leads to one of the most important findings about asset processes in general, and volatility process in particular: i.e. that the assets processes are simultaneously trending and mean-reverting. One way to understand this is to think of volatility, not as a single process, but as the superposition of two processes: a long term process in the mean, which tends to reinforce and trend, around which there operates a second, transient process that has a tendency to produce short term spikes in volatility that decay very quickly. In other words, a transient, mean reverting processes inter-linked with a momentum process in the mean. The presentation discusses two-factor modeling concepts along these lines, and about which I will have more to say later.