Modelling Stock Market Volatility || Introduction: Modelling Stock Market Volatility—Bridging the Gap to Continuous Time
✍ Scribed by Bollerslev, Tim
- Book ID
- 120557349
- Publisher
- Elsevier
- Year
- 1996
- Weight
- 439 KB
- Category
- Article
- ISBN
- 0125982755
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract This paper evaluates the performance of conditional variance models using high‐frequency data of the National Stock Index (S&P CNX NIFTY) and attempts to determine the optimal sampling frequency for the best daily volatility forecast. A linear combination of the realized volatilities ca
## Abstract In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extens
This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced by both the sign of past shocks and the size of past unexpected volatility. The proposed models are shown to converge in di