A Practical Guide to Forecasting Financial Market Volatility
Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
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1 Volatility Definition and Estimation
2 Volatility Forecast Evaluation
3 Historical Volatility Models
5 Linear and Nonlinear Long Memory Models
6 Stochastic Volatility
7 Multivariate Volatility Models
9 Option Pricing with Stochastic Volatility
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absolute returns actual volatility ARCH models backtest Basel Accords Black–Scholes Bollerslev conditional variance conditional volatility Continued Data Data correlation daily returns Data Data Forecasting Data Forecasting Forecasting days ahead Equation EWMA exchange rates Figlewski forecast errors Forecasting Evaluation Author(s Forecasting Forecasting Evaluation forecasting performance GARCH GARCH(l Heston Heston model historical volatility horizon and R-squared impact implied volatility interest rate kurtosis long memory methods and rank normal distribution option maturity option price option pricing model parameter period frequency methods portfolio proxy actual vol put option R-squared Comments rank horizon realized volatility regression returns to proxy risk premium risk-free interest rate risk-neutral RMSE rt+1 sample simulated skewness squared returns standard deviation stochastic volatility stock market stock price strike price Taylor variable volatility estimates volatility forecast volatility models volatility persistence volatility risk volatility risk premium volatility smile