Stochastic Volatility and Realized Stochastic Volatility Models
Stochastic Volatility and Realized Stochastic Volatility Models
English | 2023 | ISBN: 9819909341 | 120 Pages | PDF EPUB (True) | 21 MB
English | 2023 | ISBN: 9819909341 | 120 Pages | PDF EPUB (True) | 21 MB
This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall.