Volatility Modelling
Volatility Modelling of Malaysia Stock Price Indices
... as volatility. Volatility permeates finance and it is a key variable used in many financial ...of volatility becomes extremely important for making financial ...prices volatility ...
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Local volatility modelling
... local volatility function, the price of all sorts of contingent claims on the under- lying can be ...local volatility surface from option prices given as a function of strike and ...local volatility ...
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Volatility Modelling with Applications to Equity and Foreign Exchange Markets
... The flexible mixture of normal distributions do not allow to obtain closed form expression for the option prices. In contrast, assuming specific parametric assumption researchers de- rived ”semi-closed” solution for the ...
151
Semiparametric stochastic volatility modelling using penalized splines
... in a Markov chain Monte Carlo simulation. Abanto-Valle et al. (2010) consider scale mixtures of normals for the conditional distribution, where the variance of the normal distribution is supplemented with suitable prior ...
25
Stock Volatility Modelling with Augmented GARCH Model with Jumps
... data; volatility changes over time; distribution of the data is heavy-tailed, asymmetric and therefore not ...(squared volatility) is not constant over time and shows autoregressive ...
9
Volatility Modelling for Tourism Sector Stocks in Borsa Istanbul
... of volatility (ω) is small in magnitude, positive, and statistically significant in only three ...of volatility are more important than the time-independent component of ...of volatility clustering ...
8
Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products
... present volatility clustering, are fat tailed, skewed, governed by a long range memory ...account volatility clustering phenomenon) many GARCH-type models were been ...
18
Markov functional and stochastic volatility modelling
... high volatility of ...total volatility and usually degrades for longer than 10 years maturity, ...terminal volatility and approximating this ...
206
Modelling Intervalling Effect of High Frequency Trading on Portfolio Volatility
... portfolio volatility. Modelling the underlying de-trended asset price with Ornstein Uhlenbeck process, the paper investigates the vola- tility of portfolios that employ buy and hold strategy and momentum ...
9
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models
... conditional volatility dynamics over eight most popular cryptocurrencies, ...the volatility of the major cryptocurrencies ...on modelling cryptocurrencies volatility dynamics by employing a ...
25
Key Market Risk Factors: Identification and Applications
... current volatility regime, and to forewarn risk managers of any change in market ...the volatility skew appropriate at the moment? If so, is it the volatility by strike that should remain static, so ...
45
Online Full Text
... Expanding the scaling laws introduced by [9], and the Intraday Seasonality Observation Model ISOM introduced by [6] one significant contribution of this paper is using this model for observing the seasonalities that ...
7
Modelling the Clustering Volatility of India's Wholesales Price Index and the Factors Affecting it
... clustering volatility in the financial time series (Nelson, ...of volatility affect the Indian Wholesale Price Index for the purpose of which, we perform all pre-conditional requirement discussed in ...
9
Modelling the Effect of Stock Market Volatility and Exchange Rate Volatility on Foreign Direct Investment in Nigeria: A New Framework Approach
... market volatility (STMV) has an insignificant positive effect on foreign direct investment(FDI) in the long ...market volatility(STMV) and foreign direct investment(FDI) is statistically insignificant ...
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Modeling and Forecasting USD/UGX Volatility through GARCH Family Models: Evidence from Gaussian, T and GED Distributions
... forecast volatility by employing daily returns for the Nairobi Securities Exchange using the NSE 20 share ...of volatility and clustering effect, leverage effect and asymmetric response to external ...
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Modelling and forecasting the volatility of the portuguese stock index PSI 20
... forecast volatility in stock return series, to measure the risk of asset management and security pricing, to analyse foreign exchange rate movements and the relationships between long and short term interest ...
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Modelling and Forecasting Volatility of Value Added Tax Revenue in Kenya
... the volatility of VAT revenue collected in Kenya as well as computing its value at risk and the expected ...the volatility of the returns. One step ahead forecasting of volatility of the returns was ...
7
Modelling Volatility Spillover between Conventional and Islamic Stock Index in the United Kingdom
... the volatility of Islamic stock market index, more precisely Islamic stock market index in the ...index volatility. This factor being mentioned is the volatility rate of the conventional counterpart ...
17
L e ct ur e 1 :St o cha s t i c V o l a t i l i t ya nd L o ca l V o l a t i l i t y
... Stochastic volatility models are useful because they explain in a self- consistent way why it is that options with different strikes and expirations have different Black-Scholes implied volatilities (“implied ...
18
A Comparison of Spillover Effects before, during and after the 2008 Financial Crisis
... investigated volatility transmission between the Dow Jones (US), Nikkei (Japan) and FT30 (London) indices in the period surrounding the stock market crash in October 1987 to study the validity of the so-called ...
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