18 results with keyword: 'garch implied volatility swiss market index options prices'
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pricing exotic American options tting the volatility smile implied by the market prices of. v anilla European
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In addition, daily prices range and implied volatility are far more informative than the overnight volatility estimator for improving the GJR-GARCH-based VaR forecasts.. Market
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In the empirical study it was shown that implied volatility and GARCH estimated volatility are very similar and that GARCH volatility is better in forecasting the implied
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Volatility Index is a measure of market expectations of near term volatility conveyed by the prices of stock index options or a basket of options on stocks.. The Volatility Index
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Stock market volatility in both measures (standard deviation and GARCH) and through both ways (micro-level, stock market prices and macro-level stock market index)
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Npnethless the implied volatility forecasts are significantly better than the GARCH models suggesting continued foreign exchange market pricing of options even in periods of
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The market anticipation of jumps and spikes in the electricity spot price processes explains the enormous implied volatility observed from market prices of traded electricity
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The slope coefficient of ATMP implied volatility is not significantly different from one at the 10% level and the joint test of information content and efficiency g = 0 and b = 1
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Since ETFs track their underlying indices closely and are not significantly different from their underlying index in the return distributions, this produces a unique sample to
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We use four measures to investigate the options market behavior around the announcement of a revision: option-implied stock price, implied volatility spread, implied
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We also find that changes in implied volatility of S&P 500 options are most strongly affected by buying pressure for index puts, while changes in implied volatility of stock
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To compute the implied volatility of option prices we perform a Monte-Carlo simulation using two different GARCH models, namely the GJR-GARCH model and the E-GARCH model.. In order
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Classification matrix based on linear discriminant analysis of Procrustes coordinates derived from adult male Blueback Herring caught in North Carolina (Chowan and Yeopim rivers)
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content of the corn implied volatility (CIV) index to predict the corn futures market return
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is related to the three models GARCH, TGARCH and FIGARCH, while the second principal component is linked to the outcome obtained by the ANST–GARCH model.. With these results in hand,
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They analyze the relationship between OVX and WTI futures returns and spillover effects of crude oil price in developed and other emerging market based volatility
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