Predicting the Volatility of Stock Prices Using ARCH Models, with UK Examples

ARCH models can be used to predict volatility and to enhance option pricing methodologies. A guide to these models is provided and illustrative results are presented for the prices of Shell stock traded in London.

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Year of publication:	1994
Authors:	Taylor, Stephen J.
Published in:	Managerial Finance. - MCB UP Ltd, ISSN 1758-7743, ZDB-ID 2047612-7. - Vol. 20.1994, 2, p. 102-117
Publisher:	MCB UP Ltd

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Type of publication:	Article
Type of publication (narrower categories):	review-article
Language:	English
Other identifiers:	10.1108/eb018466 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014940857