Volatility models
Comparing conditional and stochastic volatility models: goodness of fit, forecasting and value-at-risk
... of volatility models, namely the Autoregressive Conditional Heteroskedasticity (ARCH), Stochastic Volatility (SV) and Non-Gaussian State Space Models (NGSSM) is made according to three ...
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Reality check for volatility models
... on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in ...type models that incorporate the dynamic structure of ...
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Detecting outliers in multivariate volatility models: a wavelet procedure
... ate volatility model given that the errors follow a known distribution, second it is well suited for detecting several types of outliers, such as isolated single/multiple outliers and patches of outliers; third, ...
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Realized volatility: assessing the predictive performance of parametric volatility models
... of volatility and is referred to as Realized Volatility, which will be applied in the present ...the volatility over a xed interval can be estimated by the sum of squared observations, given that ...
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Volatility models and the multivariate links with applications to the economy of Mozambique
... GARCH models, we use Mulenga et ...GARCH models for daily Mozambique New Metical (MZN) against South Africa Rand (ZAR), a major trading partner, MZN/ZAR exchange rate over January 2010 to December 2014, ...
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Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)
... Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price i[r] ...
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Testing the hypothesis of contagion using multivariate volatility models
... GARCH models described in the previous section to assess to what extent the ...make models, such as BEKK, even heavier and difficult to ...DCC-TT models offer this ...
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Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications
... In the first component, a factor model is used to represent the leveI of time series dependence structure where we allow the loadings matrix to change overtime by specify[r] ...
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Hedging options in a garch environment: testing the term structure of stochastic volatility models
... Hedging tests select the Constant Volatility model using a gamma hedge, followed by the GARCH components model as best at forecasting the term structure. It is argl.1ed that the sur[r] ...
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Asymmetric stochastic volatility models: properties and particle filter-based simulated maximum likelihood estimation
... SV models is expressed by a high dimension integral which cannot be solved analytically due to the presence of the unobserved ...SV models is not trivial. In the context of asymmetric SV models, the ...
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VALUATION OF VOLATILITY MODELS FOR FORECASTINGV ALUE AT
... various models to provide useful VaR values for exchange ...conditional volatility and an AR(1) model for the conditional mean of the log ...tail models tend to overestimate the VaR ...
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Option pricing under multiscale stochastic volatility
... tic volatility models lead to a first-order approximation of derivatives prices and of the implied volatility ...when volatility is driven by short and long time scale factors, they derive a ...
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Implied volatility smirk in Lévy markets
... implied volatility skew with a market skewness ...stochastic volatility models, we focus on a par- ticular ...implied volatility skew. The main result obtained shows that all skewed ...
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Volatility forecasting : the role of financial news in forecasting stock market volatility
... of volatility to positive news compared to negative news can improve the performance of the volatility ...the models with the sign variables have inferior OOS ...
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Volatility regimes for the VIX index
... the volatility of a certain ...the volatility regimes corresponding to the VIX index quite ...estimated volatility corresponding to the VIX index is much higher in the high volatility ...the ...
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Industry concentration and market volatility
... In accordance with the finance modern theory there should be a significant relationship between industrial structure and market volatility. In fact, on the one hand, we know that certain industries are more ...
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Volatility in city tourism demand
... For each of the source regions and for each city the seasonal patterns were first isolated from the original overnight stays’ series using the Census X-12 decomposition method and sporadic or occasional events were ...
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Earnings announcements and implied volatility
... asset volatility and, that traders rationally anticipate increases in the stock volatility around scheduled announcement dates which leads to an unusual activity of the options market just before the ...
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Realized volatility: evidence from Brazil
... Using intraday data for the most actively traded stocks on the São Paulo Stock Market (BOVESPA) index, this study considers two recently developed models from the literature on the estim[r] ...
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Volatility derivatives: expected option returns
... Broadie, Chernov and Johannes (2009) elaborated an article to investigate the significance of index option returns. To obtain the results, the authors rely on two strategies: analytical formulas for expected returns and ...
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