Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
An Empirical Analysis Of Stochastic Volatility Models
Download An Empirical Analysis Of Stochastic Volatility Models full books in PDF, epub, and Kindle. Read online An Empirical Analysis Of Stochastic Volatility Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis An Empirical Analysis of Stochastic Volatility Models by : Adrien-Paul Lambillon
Download or read book An Empirical Analysis of Stochastic Volatility Models written by Adrien-Paul Lambillon and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to explain and apply the stochastic volatility models of Heston and GARCH to model the S&P 500 index volatility. The maximum likelihood estimate of the CIR process in the volatility equation of the Heston model and GARCH(1,1) with different underlying distributions are compared. It is shown that the model with strongest mean reversion, the CIR model, is the best volatility estimation for the overall period. For periods of volatility clustering, however, GARCH models capture the behaviour more accurately.
Book Synopsis Stochastic Volatility and Jumps by : Katja Ignatieva
Download or read book Stochastic Volatility and Jumps written by Katja Ignatieva and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes exponentially affine and non-affine stochastic volatility models with jumps in returns and volatility. Markov Chain Monte Carlo (MCMC) technique is applied within a Bayesian inference to estimate model parameters and latent variables using daily returns from the Samp;P 500 stock index. There are two approaches to overcome the problem of misspecification of the square root stochastic volatility model. The first approach proposed by Christo ersen, Jacobs and Mimouni (2008) suggests to investigate some non-affine alternatives of the volatility process. The second approach consists in examining more heavily parametrized models by adding jumps to the return and possibly to the volatility process. The aim of this paper is to combine both model frameworks and to test whether the class of affine models is outperformed by the class of non-affine models if we include jumps into the stochastic processes. We conclude that the non-affine model structure have promising statistical properties and are worth further investigations. Further, we find affine models with jump components that perform similar to the non affine models without jump components. Since non affine models yield economically unrealistic parameter estimates, and research is rather developed for the affine model structures we have a tendency to prefer the affine jump diffusion models.
Book Synopsis An Empirical Analysis of Jump Diffusion Stochastic Volatility Models for Currency Option Pricing by : Lei Zhang
Download or read book An Empirical Analysis of Jump Diffusion Stochastic Volatility Models for Currency Option Pricing written by Lei Zhang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Studies on Volatility in International Stock Markets by : Eugenie M.J.H. Hol
Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Book Synopsis News Impact Curve for Stochastic Volatility Models by : Makoto Takahashi
Download or read book News Impact Curve for Stochastic Volatility Models written by Makoto Takahashi and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-04-17 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Book Synopsis Stochastic Volatility and Realized Stochastic Volatility Models by : Makoto Takahashi
Download or read book Stochastic Volatility and Realized Stochastic Volatility Models written by Makoto Takahashi and published by Springer Nature. This book was released on 2023-04-18 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall. The book also explores an extension of the basic stochastic volatility model, incorporating a skewed return error distribution and a realized volatility measurement equation. The concept of realized volatility, a newly established estimator of volatility using intraday returns data, is introduced, and a comprehensive description of the resulting realized stochastic volatility model is provided. The text contains a thorough explanation of several efficient sampling algorithms for latent log volatilities, as well as an illustration of parameter estimation and volatility prediction through empirical studies utilizing various asset return data, including the yen/US dollar exchange rate, the Dow Jones Industrial Average, and the Nikkei 225 stock index. This publication is highly recommended for readers with an interest in the latest developments in stochastic volatility models and realized stochastic volatility models, particularly in regards to financial risk management.
Book Synopsis Stochastic Volatility in Financial Markets by : Antonio Mele
Download or read book Stochastic Volatility in Financial Markets written by Antonio Mele and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
Book Synopsis Volatility Models in Option Pricing with Empirical Analysis in The Chinese Market by : Jun Yue
Download or read book Volatility Models in Option Pricing with Empirical Analysis in The Chinese Market written by Jun Yue and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays, financial derivatives play an increasingly important role in the global financial system, and options are popular structural financial derivatives, which attract much attention from academia and the industry. China Financial Futures Exchange (CFFEX) initiated the CSI 1000 index future and CSI 1000 index option in the Chinese market on July 22, 2022, which indicates a trend of acceleration in financial innovations in China's financial market. This dissertation focuses on the volatility models in option pricing and modern numerical procedures that approximate option prices. In this dissertation, different stochastic volatility models, for example, the Black-Scholes model and the Heston stochastic volatility model, are introduced and applied to price in not only European options but also exotic options, which possess complicated payoff structures. Moreover, a comprehensive empirical analysis is conducted to demonstrate these option pricing algorithms based on the recent data of CSI 1000 index options in the Chinese market.
Book Synopsis Regime Switching Stochastic Volatility and Its Empirical Analysis by : Lu Zhang
Download or read book Regime Switching Stochastic Volatility and Its Empirical Analysis written by Lu Zhang and published by . This book was released on 2010 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Regime Switching Stochastic Volatility and Its Empirical Analysis by : Lu Zhang
Download or read book Regime Switching Stochastic Volatility and Its Empirical Analysis written by Lu Zhang and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Analysis of Random Intensity Impact on Variance Swaps Under Stochastic Volatility by :
Download or read book An Empirical Analysis of Random Intensity Impact on Variance Swaps Under Stochastic Volatility written by and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Models by : Giovanni Schiesari
Download or read book Volatility Models written by Giovanni Schiesari and published by LAP Lambert Academic Publishing. This book was released on 2011-03 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this work is comparing two different models for estimating and forecasting the volatility of financial assets returns, the GARCH and the Stochastic Volatility (SV) model, applying their results to a daily Value at Risk model (VAR). The analysis consists, for each model, in a theoretical discussion and an empirical analysis carried out on a dataset containing S&P500 daily prices. The first part of the research is dedicated to the theoretical comparison and practical estimation of the two volatility models: for the SV model we introduce Bayesian analysis, MCMC methods such as the Gibbs Sampler and Metropolis Hastings algorithm. In the second part of the work we employ the two models variance predictions to build a daily VAR, identifying strengths and weaknesses of each volatility model from a VAR application point of view.
Book Synopsis Handbook of Financial Econometrics and Statistics by : Cheng-Few Lee
Download or read book Handbook of Financial Econometrics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2014-09-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Book Synopsis The Valuation of Volatility Derivatives by : Boris Zoller
Download or read book The Valuation of Volatility Derivatives written by Boris Zoller and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the pricing power of volatility call and future models under the assumption of different stochastic volatility processes. In addition to a geometric Brownian motion process, several mean-reverting process specifications are considered. An implied parameter estimation procedure is applied in order to obtain implied structural volatility parameters of every model. Furthermore, model prices are calculated by using the implied structural volatility parameters of the day before. A multiple linear regression model is used to identify systematic error pattern. Relative errors as well as absolute relative errors are regressed on moneyness, time-to-maturity and bid-ask-spread. None of the tested call models is outperforming since the best model accounts for an error of 21 % on average. In order to get best results, it is recommended to use both a geometric Brownian motion process model and a mean-reverting log process model. In the case of volatility future valuation, the mean-reverting square root process model dominates the others and reports significantly low pricing errors.
Book Synopsis Empirical Performance of Non-Affine Stochastic Volatility Models by : Øystein Sivertsen Jensen
Download or read book Empirical Performance of Non-Affine Stochastic Volatility Models written by Øystein Sivertsen Jensen and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis aims to test the empirical performance of 5 different non-affine specifications of the stochastic volatility model. The performance of the common affine square-root (SQR) specification is also investigated. The analysis is carried out by calibrating each model to option data by fitting the model-implied Black-Scholes volatilities to the marked-implied Black-Scholes volatilities. The data is collected from three months of very different financial climates; January 2007, October 2008, and July 2010. Three assets are considered; the S&P500 index, Apple Inc. and ExxonMobil Corporation. The findings confirm that model fit can be improved by choosing a non-affine model specification. The VAR model stands out as the best specification across all performance measures. The 3/2N model also consistently outperforms the SQR model. A separate estimation exercise based on maximum likelihood is also performed, confirming the better performance of the non-affine model specifications. The estimated parameters from the two estimation exercises show little sign of consistency, which indicates that all models are misspecified.
Book Synopsis VaR/CVaR Estimation Under Stochastic Volatility Models by : Chuan-Hsiang Han
Download or read book VaR/CVaR Estimation Under Stochastic Volatility Models written by Chuan-Hsiang Han and published by . This book was released on 2013 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility estimation, and importance sampling for extreme event probability estimation. The empirical analysis is based on several foreign exchange series and the S&P 500 index data. In comparison with empirical results by RiskMetrics, historical simulation, and the GARCH(1,1) model, our improved procedure outperforms on average.
