Randomized Kolmogorov-Smirnov Analysis of Volatility Roughness
波动率粗糙度的随机化 Kolmogorov–Smirnov 分析
We introduce a novel distribution-based estimator for the Hurst parameter of log-volatility, leveraging the Kolmogorov-Smirnov statistic to assess the scaling behavior of entire distributions rather than individual moments. To address the temporal dependence of financial volatility, we propose a random permutation procedure that effectively removes serial correlation while preserving marginal distributions, enabling the rigorous application of the KS framework to dependent…