Volatility models

Volatility models


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description

The aim of this work is comparing two different models for estimating and forecasting the volatility of financial assets returns, the GARCH and the Stochastic Volatility (SV) model, applying their results to a daily Value at Risk model (VAR). The analysis consists, for each model, in a theoretical discussion and an empirical analysis carried out on a dataset containing S&P500 daily prices. The first part of the research is dedicated to the theoretical comparison and practical estimation of the two volatility models: for the SV model we introduce Bayesian analysis, MCMC methods such as the Gibbs Sampler and Metropolis Hastings algorithm. In the second part of the work we employ the two models variance predictions to build a daily VAR, identifying strengths and weaknesses of each volatility model from a VAR application point of view.

Product Specifications
SKU :COC69497
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08
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