Historical Volatility
Historical volatility of NIFTY Returns and Demonetisation -An Overview
... Intra-day volatility of Tehran stock exchange from 21st September 2011 to 21st September 2013 to test the efficiency of various estimators through which historical volatility can be ...about ...
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Pricing Call Warrant by Using Binomial Model and Historical Volatility
... warrants, historical volatility was calculated first since it cannot directly gained from the market ...of historical volatility which can use some or all open, low, high, or close of ...
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COMPARISON BETWEEN IMPLIED AND HISTORICAL VOLATILITY FORECASTS: EVIDENCE FROM THE RUSSIAN STOCK MARKET. Denys Percheklii. MA in Economic Analysis.
... implied volatility has some predictive power of realized volatility, overall we can conclude that implied volatility is not the best predictor of realized volatility on the Russian Stock ...
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The comparison of forecasting performance of historical volatility versus realized volatility
... In regular time series, we normally assume the error term comes from a white noise process, which means errors are uncorrelated with mean and variance constant. However, in financial time series, it is very likely that ...
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Determinants of the implied volatility function on the Italian Stock Market
... “historical volatility” and the “momentum” exhibit the most relevant degree of ...“historical volatility” and “momentum” 14 can be integrated ...
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What Determined CDS Spreads of the UK Financial Institutions?
... equity historical volatility, οܮܫܳ is a change in bid-ask spread, οܮܧܸ is a change in leverage (equity return), οܯܸܱܮ is a change in market implied volatility, οܯܴܧܶ is a change in market index ...
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LIMITING RISK EXPOSURE WITH S&P RISK CONTROL INDICES
... rebalancing and the differences in volatility that can come with monthly rebalancing. With dynamic rebalancing, the risk control index’s theoretical exposures to the equity index and cash are computed daily based ...
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2 April 2001 ACTIVE TRADER
... implied volatility higher. To use implied volatility in volatility analysis, it is necessary to calculate a representative implied volatility for a ...implied volatility to use. Many ...
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HISTORICAL AND IMPLIED VOLATILITY: AN INVESTIGATION INTO NSE NIFTY FUTURES AND OPTIONS
... on volatility and implied volatility over the years have shown conflicting results on the relationship with each ...implied volatility being different across various time periods in the horizon and ...
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Essays on Credit Risk: European studies in the context of the global financial crisis
... implied volatility is found to be a better explanatory variable for CDS spreads compared to historical volatility (HV) and other theoretical ...future volatility, but also because it captures ...
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Fixed Rate versus Adjustable Rate Mortgages: Evidence from Euro Area Banks
... higher historical volatility of infla- tion and a larger, in magnitude, (negative) correlation between unemployment and the short-term interest rate, at least if compared to Germany (Table 7 and Figure A2 ...
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Essays on Credit Risk and Credit Derivatives
... When identifying relative value opportunities across credit and equity mar- kets, the arbitrageur faces two major problems, namely positions based on model misspeci…cation and mismeasured inputs. Using credit default ...
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Stock Illiquidity, Option Prices, and Option Returns
... implied volatility and realized historical volatility and relate this difference to the underlying stock’s Amihud (2002) illiquidity ...between historical and implied volatility ...
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Pricing Asian Options: Volatility Forecasting as a Source of Downside Risk
... in volatility models resulted in severe mismatches in option premium estimates, as shown by the table of results ...poor volatility forecasting performance. For Credit Suisse, the historical ...
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A� Sin
... stochastic volatility are called ...the volatility. We proved that in many SV-models where the volatility is bounded above by some constant max the value process of the ...
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AN ANALYSIS OF THE DAILY VARIATION OF THE VALUE OF AN OPTION OF A SHARE THROUGH THE BLACK-SCHOLES EQUATION
... and volatility by historical returns, and so, it was possible to calculate the European call option, as exposed on Table 1, which obtains all five parameters and the calculated value by the model according ...
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A Canadian investor s perspective
... historical growth rates and more recently as their growth rates have begun to slow. Prior Vanguard research (Davis, 2013) found that contrary to conventional wisdom, average cross-country correlations between ...
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Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein Uhlenbeck Process and Application on KLCI Option Pricing
... Based on the literature, early works on GBM assumed volatility to be a constant. However this assumption is rejected by most empirical studies [5]-[8] which led to some market crashes such as Black-Monday in 1987, ...
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Index of /finance/Volatility Models
... stochastic volatility, using the parameters estimated from S&P 500 implied volatilies: a = 0:154, b = 0:149 and from historical index data, = ...
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Principal Component Analysis of Volatility Smiles and Skews
... of volatility smiles and skews have been based on daily changes in implied volatilities, by strike and/or by ...the volatility surface is specified by delta and ...
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