# Volatility Inference and Return Dependencies in Stochastic Volatility Models

**Authors:** Oliver Pfante, Nils Bertschinger  
**arXiv:** [1610.00312](https://arxiv.org/abs/1610.00312)  
**Date:** 2016-10-02  
**Summary page:** https://www.summarizepaper.com/fr/paper/1610.00312v1/

## Abstract

Stochastic volatility models describe stock returns $r_t$ as driven by an unobserved process capturing the random dynamics of volatility $v_t$. The present paper quantifies how much information about volatility $v_t$ and future stock returns can be inferred from past returns in stochastic volatility models in terms of Shannon's mutual information.