Forecasting Volatilities in Equity, Bond, and Money Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Forecasting Volatilities in Equity, Bond, and Money Markets PDF full book. Access full book title Forecasting Volatilities in Equity, Bond, and Money Markets by Kent Wang. Download full books in PDF and EPUB format.
Author: Kent Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
Get Book Here
Book Description
This study examines the forecasting power of the most popular volatility forecasting models in the Samp;P 500 index market, Eurodollar futures market, and 30-year US T-Bond futures market. A new way to evaluate volatility forecasting models by applying the out-of-sample testing techniques in the context of option pricing is proposed. The approach develops Karolyi's (1993) option pricing error approach empirically. Spurious regressions biases and biases of measurement of volatility forecasts are controlled for. The evidence in this paper supports use of implied volatility as a proxy for market volatility, as it works best in forecasting future volatility. It is also concluded that volatilities in the three markets follow a Stochastic Volatility process, as an AR(1) best fits the implied volatility series in each of the markets. These empirical results are consistent with the predictions of Rational Expectations theory. Directions for further investigation are noted.
Author: Kent Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
Get Book Here
Book Description
This study examines the forecasting power of the most popular volatility forecasting models in the Samp;P 500 index market, Eurodollar futures market, and 30-year US T-Bond futures market. A new way to evaluate volatility forecasting models by applying the out-of-sample testing techniques in the context of option pricing is proposed. The approach develops Karolyi's (1993) option pricing error approach empirically. Spurious regressions biases and biases of measurement of volatility forecasts are controlled for. The evidence in this paper supports use of implied volatility as a proxy for market volatility, as it works best in forecasting future volatility. It is also concluded that volatilities in the three markets follow a Stochastic Volatility process, as an AR(1) best fits the implied volatility series in each of the markets. These empirical results are consistent with the predictions of Rational Expectations theory. Directions for further investigation are noted.
Author: Stephen Satchell
Publisher: Elsevier
ISBN: 0080471420
Category : Business & Economics
Languages : en
Pages : 428
Get Book Here
Book Description
Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey Leading thinkers present newest research on volatility forecasting International authors cover a broad array of subjects related to volatility forecasting Assumes basic knowledge of volatility, financial mathematics, and modelling
Author: John L. Knight
Publisher: Butterworth-Heinemann
ISBN: 9780750655156
Category : Business & Economics
Languages : en
Pages : 428
Get Book Here
Book Description
This text assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modeling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.
Author: Ser-Huang Poon
Publisher: John Wiley & Sons
ISBN: 0470856157
Category : Business & Economics
Languages : en
Pages : 236
Get Book Here
Book Description
Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Author: C. E. V. Borio
Publisher: Bank for International Settlements
ISBN:
Category : Bond market
Languages : en
Pages : 140
Get Book Here
Book Description
Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
Get Book Here
Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Robert A. Haugen
Publisher: Pearson
ISBN:
Category : Business & Economics
Languages : en
Pages : 170
Get Book Here
Book Description
It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Author: Dexiang Mei
Publisher: Scientific Research Publishing, Inc. USA
ISBN: 164997048X
Category : Business & Economics
Languages : en
Pages : 139
Get Book Here
Book Description
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
Author: Jörg Döpke
Publisher:
ISBN: 9783865581327
Category :
Languages : en
Pages : 35
Get Book Here
Book Description
Author: Peter F. Christoffersen
Publisher:
ISBN:
Category :
Languages : en
Pages : 74
Get Book Here
Book Description
