[PDF] Top 20 Volatility Forecasting and Volatility Risk Premium
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Volatility Forecasting and Volatility Risk Premium
... implied volatility considers the latest information in the current markets from all the option contracts, including strike prices, option prices, the remaining term of options, the risk-free interest rate ... See full document
5
The Importance of the Volatility Risk Premium for Volatility Forecasting
... These findings motivate us to investigate the unbiasedness of individual forecasts more formally. In doing so, we report in the column headed “Wald” the F-statistic testing the null hypothesis of α and β being jointly ... See full document
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The Cross Sectional Risk Premium of Decomposed Market Volatility in UK Stock Market
... long-run volatility components are significant pricing factors at the 5% ...short-run volatility beta of unity requires a ...to volatility risk. In column (vi) and (vii), the prices of ... See full document
9
Essays on volatility forecasting
... the volatility forecasting literature, is determining the optimal in-sample period for producing out of sample ...a volatility forecasting exercise to address this ...a risk management ... See full document
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Implementation of the Estimating Functions Approach in Asset Returns Volatility Forecasting Using First Order Asymmetric GARCH Models
... return volatility is an imperative factor in pricing of derivatives and portfolio allocation in the financial ...the risk associated with financial assets are done through studies on the variance ... See full document
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Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility
... Realized Volatility (RV) and the Value-at-Risk (VaR) of the most liquid Russian stocks using GARCH, ARFIMA and HAR mod- els, including both the implied volatility computed from options prices and ... See full document
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Using CAViaR models with implied volatility for value-at-risk estimation
... To summarise, in terms of both the hit percentage and DQ test, the results of the combining methods were better than the two individual methods. The PlugIn method was better than the two individual methods in terms of ... See full document
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HAR Modeling for Realized Volatility Forecasting
... short-term volatility does not affect the trading strategies of long-term ...long-term volatility matters because it determines the expected future size of trends and ... See full document
24
Some solutions to the equity premium and volatility puzzles
... equity, risk-free securities, and risk premium in equity for this ...Equity Premium, A Puzzle, in which they formulized a very efficient economics equilibrium model by employing a variation of ... See full document
25
THE ROLE OF EARNINGS VOLATILITY SOURCES IN FORECASTING
... earnings volatility, we use other ...earnings volatility (VOL) as the standard deviation of earnings over the past 12 ...flow volatility (CFV), accruals volatility (ACCV) are defined ... See full document
15
Forecasting Coherent Volatility Breakouts
... 1950-s volatility, taken as a proxy for price risk, is being at the core of finan- cial theory and ...of volatility: while most practitioners admit that volatility is the range between maximum ... See full document
8
Forecasting Realized Volatility of Agricultural Commodities
... realized volatility of agricultural commodities using variants of the Heterogeneous AutoRegressive (HAR) ...decompose volatility measures into their continuous path and jump components and incorporate ... See full document
49
Asymmetric Realized Volatility Risk
... high volatility are far more frequent than days of very high volatility and tail return ...2.1. Volatility risk: empirical regularities. Volatility risk is a substantive issue ... See full document
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The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades
... of volatility models with implied volatility from option prices and Google Trends data improves the quality of the estimated VaRs at multiple confidence levels for the Russian RTS index ...future ... See full document
28
Mental Accounting: A Closed Form Alternative to the Black Scholes Model
... the risk free rate with the return on the underlying stock (that is, the risk free is supplemented with the risk ...total volatility, a higher amount of systematic risk leads to a ... See full document
32
Forecasting realized volatility: a review
... The use of covariance in portfolio optimisation has its roots in the doctoral thesis of Markowitz. Since then, a wide stream of literature has been analysing the forecast accuracy in a context of portfolio optimisation. ... See full document
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Rational bubble, short dated volatility forecasting and extract more from the volatility surface
... implied volatility surface. Implied volatility is the parameter a that inserts into the Black-Sholes model so that the plain vanilla option price from the formula matches the market price of the ...implied ... See full document
130
Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts
... Areas for further research could involve the use of alternative models such as the AP-GARCH specification. Another possibility would be to move away from univariate models to the use of multivariate GARCH models, see for ... See full document
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The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt
... the volatility using daily stock returns of the EGX 30 index from 1998 through 2009 and found no evidence of the leverage ...of volatility shocks for the pre-revolution ...the volatility of the index ... See full document
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Determining pledged loan-to-value ratio: an option pricing perspective
... credit risk of banks. One of the key risk management problems of banks is to de- termine a reasonably pledged loan-to-value ratio, a rate of pledge loans, and a pledge ... See full document
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