Showing 1 - 10 of 347
heteroskedasticity (GARCH) and autoregressive stochastic volatility (ARSV) models for volatility forecasting using the S&P 500 Index. In …-step-ahead volatility forecasts. The empirical results show that the ARSV(1) model outperforms the GARCH(1, 1) model in terms of the in … volatility, are not robust for out-of-sample option price predictions. …
Persistent link: https://www.econbiz.de/10015334547
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...
Persistent link: https://www.econbiz.de/10012204043
were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results …. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier …
Persistent link: https://www.econbiz.de/10012390928
extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). We find that recalibrating a …
Persistent link: https://www.econbiz.de/10012422987
We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance parameter close to that of a log-normal model,...
Persistent link: https://www.econbiz.de/10012292915
In the past years, there has been an extensive investigation of the class of stochastic volatility models for the …-Scholes economy and accounting for discrepancies between observation and predictions in the simple log-normal, constant-volatility … model. In this paper, we study the structure of an options market with a stochastic volatility that will eventually vanish …
Persistent link: https://www.econbiz.de/10013368982
In the past years, there has been an extensive investigation of the class of stochastic volatility models for the …-Scholes economy and accounting for discrepancies between observation and predictions in the simple log-normal, constant-volatility … model. In this paper, we study the structure of an options market with a stochastic volatility that will eventually vanish …
Persistent link: https://www.econbiz.de/10013473177
shifts and stochastic volatility. The filter adapts to regime shifts extremely rapidly and delivers a clear heuristic for … distinguishing between regime shifts and stochastic volatility, even though the model dynamics assumed by the filter exhibit neither …
Persistent link: https://www.econbiz.de/10012794245
The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …
Persistent link: https://www.econbiz.de/10012203997
We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we … relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary … Standard & Poor´s 500 equity index, the estimates revealed strong evidence that both volatility and the volatility of …
Persistent link: https://www.econbiz.de/10012204468