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characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10012966258
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange …
Persistent link: https://www.econbiz.de/10012966267
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Persistent link: https://www.econbiz.de/10001619299
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...
Persistent link: https://www.econbiz.de/10009613611
tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …
Persistent link: https://www.econbiz.de/10009612026
volatility index was created to capture the investor expectations about the crypto-currency ecosystem. VCRIX is built based on … CRIX and offers a forecast for the mean annualized volatility of the next 30 days, re-estimated daily. The model was back …
Persistent link: https://www.econbiz.de/10012846988
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With the recent availability of high-frequency financial data the long range dependence of volatility regained … researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of … volatility, however, is usually stated for long sample periods, while for small sample sizes, such as e.g. one year, the …
Persistent link: https://www.econbiz.de/10012966276