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Volatility Forecasting In Futures Markets
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Book Synopsis Forecasting Volatility in the Financial Markets by : Stephen Satchell
Download or read book Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-02-24 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey Leading thinkers present newest research on volatility forecasting International authors cover a broad array of subjects related to volatility forecasting Assumes basic knowledge of volatility, financial mathematics, and modelling
Book Synopsis Forecasting the Volatility of Stock Market and Oil Futures Market by : Dexiang Mei
Download or read book Forecasting the Volatility of Stock Market and Oil Futures Market written by Dexiang Mei and published by Scientific Research Publishing, Inc. USA. This book was released on 2020-12-17 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
Book Synopsis Volatility Forecasting in Futures Markets by : Theo Athanasiadis
Download or read book Volatility Forecasting in Futures Markets written by Theo Athanasiadis and published by . This book was released on 2015 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility forecasting has paramount importance in position sizing and risk management of CTAs. In this paper we examine the out-of-sample forecasts of widely used volatility estimators for the S&P 500 and the 10-Year US Note from a statistical and Value-at-Risk perspective. Although we do not find evidence for a volatility estimator that is statistically superior, we show that the volatility process of each asset is different with asymmetric GARCH models generating superior forecasts for the S&P 500, whereas symmetric GARCH, the Yang-Zhang estimator along with the implied volatility forecasting better the 10-Year US Note volatility. We also show that the volatility of the 10-Year US Note is more forecastable than that of the S&P 500 producing smaller errors. More importantly, we find that improving the volatility forecast can generate superior VaR estimates that can be accurate under the normal distribution failing only at the lowest quantiles mainly because the distribution is mispecified and badly approximated by the normal. Semi-parametric QML-GARCH models that use the empirical quantiles of the distribution along with GARCH forecasts address that issue and generate superior VaR estimates outperforming all other methods.
Book Synopsis Efficient Volatility Forecasting with S & P 500 Index Futures Contracts by : Shaikh A. Hamid
Download or read book Efficient Volatility Forecasting with S & P 500 Index Futures Contracts written by Shaikh A. Hamid and published by . This book was released on 1995 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Volatility in the Financial Markets by : John L. Knight
Download or read book Forecasting Volatility in the Financial Markets written by John L. Knight and published by Butterworth-Heinemann. This book was released on 2002 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modeling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.
Book Synopsis A Practical Guide to Forecasting Financial Market Volatility by : Ser-Huang Poon
Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Book Synopsis An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India by : Srinivasan Kaliyaperumal
Download or read book An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India written by Srinivasan Kaliyaperumal and published by GRIN Verlag. This book was released on 2018-03-13 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: Project Report from the year 2010 in the subject Business economics - Investment and Finance, , course: Ph. D, language: English, abstract: Every modern economy is based on a sound financial system and acts as a monetary channel for productive purpose with effecting economic growth. It encourages saving habit by throwing open and plethora of instrument avenues suiting to the individuals requirements, mobilizing savings from households and other segments and allocating savings into productive usage such as trade, commerce, manufacture etc. Thus a financial system can also be understood as institutional arrangements, through which financial surpluses are mobilized from the units generating surplus income and transferring them to the others in need of them. In nutshell, financial market, financial assets, financial services and financial institutions constitute the financial system. The activities include exchange and holding of financial assets or instruments of different kinds of financial institutions, banks and other intermediaries of the market. Financial markets provide channels for allocation of savings to investment and provide variety of assets to savers in various forms in which the investors can park their funds. At the same time, financial market is one that integral part of the financial system which makes significant contribution to the countries’ economic development. It establishes a link between the demand and supply of long-term capital funds. The economic strength of a country depends squarely on the state of financial market, apart from the productive potential of the country. The efficient allocation of fund by the capital market depends on the state of capital market. All the countries therefore focus more on the functioning of the capital market. Indian financial market has faced many challenges in the process of effecting more efficient allocation and mobilization of capital. It has attained a remarkable degree of growth in the last decade and in continuing to achieve the same in current decade also. Opening up of the economy and adoption of the liberalized economic policies have driven our economy more towards the free market. Over the last few years, financial markets, more specifically the security market were experiencing a lot of structural and regulatory changes. The major constituents of financial market are money market and the capital market catering to the type of capital requirements.
Book Synopsis Modelling Financial Time Series by : Stephen J. Taylor
Download or read book Modelling Financial Time Series written by Stephen J. Taylor and published by World Scientific. This book was released on 2008 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
Book Synopsis Forecasting Volatility in Agricultural Commodities Markets Considering Market Structural Breaks by : Mario Amado Ortez Amador
Download or read book Forecasting Volatility in Agricultural Commodities Markets Considering Market Structural Breaks written by Mario Amado Ortez Amador and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This decade has seen movements in commodity futures markets never seen before. There are many factors that have intensified price movements and volatility behavior. Those factors likely altering supply and demand include governmental policy within and outside of the U.S, weather shocks, geopolitical conflicts, food safety concerns etc. Whatever the reasons are for price movements it is clear that the volatility behavior in commodity markets constantly change, and risk managers need to use current and efficient tools to mitigate price risk. This study identified market structural breaks of realized volatility in corn, wheat, soybeans, live cattle, feeder cattle and lean hogs futures markets. Furthermore, this study analyzes the forecasting performance of implied volatility, historical volatility, a composite approach and a naive approach as forecasters of realized volatility. The forecasting performance of these methods was analyzed in the full period of time of our weekly data from January 1995 to April 2014 and in each identified market regime for each commodity. Previous research has analyzed forecasting performance of implied volatility, a time series alternative and a composite method. However, to the best of my knowledge, they have not worried about market structural breaks in the data that might influence the performance of the mentioned forecasting methods in different periods of time. Overall, results indicate that indeed there are multiple market structural breaks present in the volatility datasets across all six commodities. We found differences in the forecasting performance of the analyzed methods when individual market regimes were analyzed. There seems to be evidence that corroborates the idea in the literature about the superiority of implied volatility over a historical volatility, a composite approach and a naive approach. Additionally, implied volatility encompassed all the information contained in the historical volatility and the naive measure across each identified market regime in all six commodities. Our results show that when both implied volatility and historical volatility are available, the benefit of combining those measures into a composite forecasting approach is very limited. Our results hold true for a short term 1 week ahead realized volatility forecast. It would be of interest to see how results vary for longer forecasting time horizons.
Book Synopsis Research on the Volatility of Oil Futures and European Stock Markets by : Dexiang Mei
Download or read book Research on the Volatility of Oil Futures and European Stock Markets written by Dexiang Mei and published by Scientific Research Publishing, Inc. . This book was released on 2020-08-13 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility has been one of the cores of the financial theory research, in addition to the futures market is an important part of modern financial markets, the futures market volatility is an important part of the theory of financial markets research.
Book Synopsis Forecasting Volatilities in Equity, Bond, and Money Markets by : Kent Wang
Download or read book Forecasting Volatilities in Equity, Bond, and Money Markets written by Kent Wang and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the forecasting power of the most popular volatility forecasting models in the Samp;P 500 index market, Eurodollar futures market, and 30-year US T-Bond futures market. A new way to evaluate volatility forecasting models by applying the out-of-sample testing techniques in the context of option pricing is proposed. The approach develops Karolyi's (1993) option pricing error approach empirically. Spurious regressions biases and biases of measurement of volatility forecasts are controlled for. The evidence in this paper supports use of implied volatility as a proxy for market volatility, as it works best in forecasting future volatility. It is also concluded that volatilities in the three markets follow a Stochastic Volatility process, as an AR(1) best fits the implied volatility series in each of the markets. These empirical results are consistent with the predictions of Rational Expectations theory. Directions for further investigation are noted.
Book Synopsis Commodities and Equities by : Bahattin Büyüksahin
Download or read book Commodities and Equities written by Bahattin Büyüksahin and published by Nova Science Publishers. This book was released on 2009 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. The authors provide evidence that challenges this idea. Using dynamic correlation and recursive co-integration techniques, they found that the relation between the returns on investable commodity and U.S. equity indices has not changed significantly in the last fifteen years. The authors also find no evidence of any secular increase in co-movement between the returns on commodity and equity investments during periods of extreme returns.
Book Synopsis Forecasting conditional volatility of returns by using the relationship among returns, trading volume, and open interest in commodity futures markets by : Sang-Hak Lee
Download or read book Forecasting conditional volatility of returns by using the relationship among returns, trading volume, and open interest in commodity futures markets written by Sang-Hak Lee and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets by : Chia-Lin Chang
Download or read book Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets written by Chia-Lin Chang and published by . This book was released on 2009 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Review of Futures Markets written by and published by . This book was released on 1994 with total page 1274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Accuracy of Crude Oil Futures Prices by : Mr.Manmohan S. Kumar
Download or read book Forecasting Accuracy of Crude Oil Futures Prices written by Mr.Manmohan S. Kumar and published by International Monetary Fund. This book was released on 1991-10-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.
Book Synopsis Forecasting Realized Volatility of Daily Futures Returns by : Bruno Gmuer
Download or read book Forecasting Realized Volatility of Daily Futures Returns written by Bruno Gmuer and published by . This book was released on 2014 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the vast academic literature on modelling stochastic volatility, many finance practitioners still use the simple "RiskMetrics" approach of J. P. Morgan (1997), based on the exponentially weighted moving average (EWMA) volatility combined with the $ sqrt{h}$-rule for scaling volatility with horizon. In this paper, we evaluate this approach using a universe of 47 liquid futures contracts, including equity index, currency, commodity, and bond futures. We find that the "true" slope (persistence) coefficients capturing the dependence between past and future realized volatility are { it always strictly smaller than $ sqrt{h}$} for all 47 instruments, and experience large fluctuations over time; in particular, for almost all instruments in our sample slope coefficients spiked during the 2008 financial crisis. However, while for equity index futures slope coefficients returned to their pre-crisis level, this is not the case for all other four asset classes: after the crisis, slope coefficients stay well above their pre-crisis level. Exploiting predictability of these slope coefficients using rolling linear regressions significantly improves efficiency of realized volatility forecasting relative to the RiskMetrics benchmark. Our forecasting procedure is implementable in real time, and its performance is comparable (and sometimes even superior) to that of ARCH-type models over an interval of horizons, from 5 days to 2 months. As a practical application, we show that our volatility forecasts can be efficiently used for { it managing risk of momentum strategies} and significantly reduce drawdowns.
