Modeling Volatility in Financial Time Series: A comparison between GARCH and MSM volatility models - Couverture souple

Boer, Jesper

 
9783843362061: Modeling Volatility in Financial Time Series: A comparison between GARCH and MSM volatility models
Couverture souple
ISBN 10 : 3843362068 ISBN 13 : 9783843362061
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

Volatility is one of the biggest topics in finance today. It is the most important measure of risk and plays a crucial role in the valuation of derivatives. Volatility estimations are therefore essential in most financial decisions. However, it has been proven extremely difficult to model and forecast the volatility one witnesses in time series. This book compares two volatility models, their properties and their performances. The models compared are the GARCH model and the Markov Switching Multifractal model, two models that rely on completely different assumptions. This book assesses how both models perform in replicating financial time series. The model parameters are estimated on historical returns and option prices. The results are used to produce volatility forecasts which in their turn are evaluated in a Value at Risk setup. The analysis done shows some unexpected conclusions and promising leads for further research. This book provides a step by step manual on how to estimate various volatility models and how resulting estimates can be used for derivative pricing. This is extremely valuable for practitioners and others interested in modeling volatility in financial markets.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Volatility is one of the biggest topics in finance today. It is the most important measure of risk and plays a crucial role in the valuation of derivatives. Volatility estimations are therefore essential in most financial decisions. However, it has been proven extremely difficult to model and forecast the volatility one witnesses in time series. This book compares two volatility models, their properties and their performances. The models compared are the GARCH model and the Markov Switching Multifractal model, two models that rely on completely different assumptions. This book assesses how both models perform in replicating financial time series. The model parameters are estimated on historical returns and option prices. The results are used to produce volatility forecasts which in their turn are evaluated in a Value at Risk setup. The analysis done shows some unexpected conclusions and promising leads for further research. This book provides a step by step manual on how to estimate various volatility models and how resulting estimates can be used for derivative pricing. This is extremely valuable for practitioners and others interested in modeling volatility in financial markets.

Biographie de l'auteur

Jesper Roelof Boer, 28-03-1987. Studied: BSc and MSc Econometrics and Management Science; Quantitative Finance, at Erasmus University Rotterdam. MSc Research in Political Science, at Universidad Pompeu Fabra, Barcelona. Current positions: Associate professor, Research Assistant and PhD student in Political Sciences, at Universidad Pompeu Fabra.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3843362068
ISBN 13 
9783843362061
Reliure
Broché
Nombre de pages
88
Coordonnées du fabricant
non disponible
Personne responsable
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