A Practical Guide to Forecasting Financial Market Volatility

Front Cover
John Wiley & Sons, Aug 19, 2005 - Business & Economics - 236 pages
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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Contents

1 Volatility Definition and Estimation
1
2 Volatility Forecast Evaluation
21
3 Historical Volatility Models
31
4 Arch
37
5 Linear and Nonlinear Long Memory Models
45
6 Stochastic Volatility
59
7 Multivariate Volatility Models
65
8 BlackScholes
71
10 Option Forecasting Power
115
11 Volatility Forecasting Records
121
12 Volatility Models in Risk Management
129
13 VIX and Recent Changes in VIX
143
14 Where Next?
147
Appendix
149
References
201
Index
215

9 Option Pricing with Stochastic Volatility
97

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About the author (2005)

Dr SER-HUANG POON was promoted to Professor of Finance at Manchester University in 2003. Prior to that, she was a senior lecturer at Strathclyde University. Ser-Huang graduated from the National University of Singapore and obtained her masters and PhD from Lancaster University, UK. She has researched financial market volatility for many years and has published in many top ranking peer reviewed finance and financial econometric journals with many co-authors from around the world. Her financial market volatility work was cited as a reference reading on the Nobel web site in 2003.

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