Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management …, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have … analysis (R/S) indicate a long memory in the volatility process of PX index and the first 40 autocorrelations of the square log …