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Forecasting Volatility In The Financial Markets

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Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets Book
Author : Stephen Satchell,John Knight
Publisher : Elsevier
Release : 2011-02-24
ISBN : 0080471420
Language : En, Es, Fr & De

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Book Description :

This new edition of Forecasting Volatility in the Financial Markets 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

Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets Book
Author : John L. Knight,John Knight,Stephen Satchell
Publisher : Butterworth-Heinemann
Release : 1998
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

With contributions from leading academics and professional experts, this book is required reading for anyone who needs to understand the significance and impact of volatility in the financial markets. Its key features include a description of how to understand, model and forecast volatility; applications in investment management, trading strategies and financial engineering; and current research on the key forecasting methods to use in risk management.

Forecasting Volatility

Forecasting Volatility Book
Author : Stephen Figlewski
Publisher : Unknown
Release : 1997
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Forecasting Volatility book written by Stephen Figlewski, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets Book
Author : John Knight,John L. Knight,Stephen Satchell
Publisher : Butterworth-Heinemann
Release : 2002
ISBN : 9780750655156
Language : En, Es, Fr & De

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Book Description :

'Forecasting Volatility in the Financial Markets' 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 then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return. The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets. This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets. * Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility. * Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns. * Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls. * Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models. * Students and academics will find the collection of papers an invaluable overview of this field. This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters

A Practical Guide to Forecasting Financial Market Volatility

A Practical Guide to Forecasting Financial Market Volatility Book
Author : Ser-Huang Poon
Publisher : John Wiley & Sons
Release : 2005-08-19
ISBN : 0470856157
Language : En, Es, Fr & De

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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.

Forecasting the Volatility of Stock Market and Oil Futures Market

Forecasting the Volatility of Stock Market and Oil Futures Market Book
Author : Dexiang Mei,Feng Ma
Publisher : Scientific Research Publishing, Inc. USA
Release : 2020-12-17
ISBN : 164997048X
Language : En, Es, Fr & De

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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.

Forecasting Volatility for Financial Market Risk Management

Forecasting Volatility for Financial Market Risk Management Book
Author : Ahmed Shamiri
Publisher : Unknown
Release : 2008
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Forecasting Volatility for Financial Market Risk Management book written by Ahmed Shamiri, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Empirical Studies on Volatility in International Stock Markets

Empirical Studies on Volatility in International Stock Markets Book
Author : Eugenie M.J.H. Hol
Publisher : Springer Science & Business Media
Release : 2013-03-09
ISBN : 147575129X
Language : En, Es, Fr & De

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Book Description :

Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

An Analysis of Price Volatility Trading Volume and Market Depth of Stock Futures Market in India

An Analysis of Price Volatility  Trading Volume and Market Depth of Stock Futures Market in India Book
Author : Srinivasan Kaliyaperumal
Publisher : GRIN Verlag
Release : 2018-03-13
ISBN : 3668659958
Language : En, Es, Fr & De

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Book Description :

Project Report from the year 2010 in the subject Business economics - Investment and Finance, , course: Ph. D, language: English, abstract: Every modern economy is based on a sound financial system and acts as a monetary channel for productive purpose with effecting economic growth. It encourages saving habit by throwing open and plethora of instrument avenues suiting to the individuals requirements, mobilizing savings from households and other segments and allocating savings into productive usage such as trade, commerce, manufacture etc. Thus a financial system can also be understood as institutional arrangements, through which financial surpluses are mobilized from the units generating surplus income and transferring them to the others in need of them. In nutshell, financial market, financial assets, financial services and financial institutions constitute the financial system. The activities include exchange and holding of financial assets or instruments of different kinds of financial institutions, banks and other intermediaries of the market. Financial markets provide channels for allocation of savings to investment and provide variety of assets to savers in various forms in which the investors can park their funds. At the same time, financial market is one that integral part of the financial system which makes significant contribution to the countries’ economic development. It establishes a link between the demand and supply of long-term capital funds. The economic strength of a country depends squarely on the state of financial market, apart from the productive potential of the country. The efficient allocation of fund by the capital market depends on the state of capital market. All the countries therefore focus more on the functioning of the capital market. Indian financial market has faced many challenges in the process of effecting more efficient allocation and mobilization of capital. It has attained a remarkable degree of growth in the last decade and in continuing to achieve the same in current decade also. Opening up of the economy and adoption of the liberalized economic policies have driven our economy more towards the free market. Over the last few years, financial markets, more specifically the security market were experiencing a lot of structural and regulatory changes. The major constituents of financial market are money market and the capital market catering to the type of capital requirements.

Interdisciplinary Approaches to Understanding and Forecasting Volatility

Interdisciplinary Approaches to Understanding and Forecasting Volatility Book
Author : Irena Vodenska-Chitkushev
Publisher : Unknown
Release : 2009
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Abstract: Volatility is a measure of financial market risk and understanding the statistical characteristics of volatility is essential for effective risk management. In this thesis we use statistical physics approaches to analyze the stochastic nature of financial markets and explore the existence of a universal law that governs the financial market system. Such universal law will allow us to study the statistical characteristics of extreme events for which the data is limited, by analyzing more common events where the data is abundant. We use the analysis of return intervals to study the volatility of the S&P 500 Index for different periods between 1984 and 2009, and explore the existence of memory and scaling in the return intervals datasets. Our results show that the long memory in volatility leads to a clustering of above-median as well as below-median return intervals. In addition, we find that the short return intervals form larger clusters compared to the long return intervals. We also study specific market crashes and the behavior of the market after such crashes. We find that the crashes are characterized by the Omori law, which describes the decay in the rate of aftershocks of a given size. We find that within the aftercrash period there are smaller shocks that themselves constitute Omori processes on smaller scales, similar to the Omori process after the large crash. To further analyze the statistical characteristics of the S&P 500 index data, we compare the empirical results with two models, autoregressive moving average - fractionally integrated generalized autoregressive conditional heteroskedastic (ARMA-FIGARCH) model and fractional Brownian motion (fBm) model. We observe that in general, the ARMA-FIGARCH model is statistically different from the market behavior for intermediate thresholds, and the fBm model is statistically different from the market data for small and large thresholds. Also, both ARMA-FIGARCH and fBm capture the long-term dependence in return intervals to a certain extent, but only fBm accounts for the scaling. Finally, we propose a novel method for forecasting high and low volatility periods based on the long memory in the S&P 500 return intervals. We then analyze different derivative-based strategies and compare them with the "long only" strategy where only long equity positions are held and no derivatives are used. Our findings suggest that a protective put option strategy significantly outperforms the "long only" strategy during high volatility periods, while it underperforms the "long only" strategy during periods of low volatility. On the other hand, the covered call strategy does not offer proper protection of the portfolio for high volatility periods, and has limited upside potential when volatility is low.

Forecasting Volatility

Forecasting Volatility Book
Author : Hagen W. Bluhm,Jun Yu
Publisher : Unknown
Release : 2001
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Forecasting Volatility book written by Hagen W. Bluhm,Jun Yu, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Stock Market Volatility

Stock Market Volatility Book
Author : Greg N. Gregoriou
Publisher : CRC Press
Release : 2009-04-08
ISBN : 9781420099553
Language : En, Es, Fr & De

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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 developed, emerging, and frontier economies. The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives. Given the current state of high levels of volatility in global stock markets, money managers, financial institutions, investment banks, financial analysts, and others need to improve their understanding of volatility. Examining key aspects of stock market volatility, this comprehensive reference offers novel suggestions for accurately assessing the field.

Volatility Trading and Risk Management

Volatility Trading and Risk Management Book
Author : Ser-Huang Poon
Publisher : John Wiley & Sons
Release : 2014-03-07
ISBN : 9781118471104
Language : En, Es, Fr & De

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Book Description :

A practical guide to understanding and implementing proven volatility forecasting models as part of an overall trading system and for investment risk management Considering the current state of the global financial markets, it is no mystery why volatility forecasting has suddenly assumed such a prominent role within the finance industry. Short on theory and long on practical application, this book offers finance professionals real-world solutions to most volatility forecasting challenges they may encounter. In writing it, Professor Ser-Huang Poon, a leading international expert in the field, was careful to select only those volatility models that have been rigorously tested for their forecasting performance. Supported by the latest research on volatility forecasting, Poon develops a framework for understanding, modifying and strategically using the models described as part of an overall trading or portfolio risk management strategy. Carefully describes, evaluates and compares the latest research in volatility forecasting and provides valuable background information on volatility definition and estimation Provides clear, accessible guidance on how to model and forecast volatility across all asset classes and markets Covers the full range of modeling approach?from Black-Scholes to VIX, stochastic and multivariate modeling?and offers guidance on how to use the for trading and risk management

Modelling Volatility in Financial Markets

Modelling Volatility in Financial Markets Book
Author : Chun Liu
Publisher : Unknown
Release : 2007
ISBN : 9780494394700
Language : En, Es, Fr & De

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Book Description :

In this thesis, I study the dynamics of the volatility process and focus on estimation and forecasting. Recent research uses high frequency intraday data to construct ex post measures of daily volatility including realized volatility (RV). Chapter 1 is the introduction. In Chapter 2, I use a Bayesian approach to investigate the evidence for structural breaks in reduced form time-series models of RV. I focus on the popular heterogeneous autoregressive (HAR) models of the logarithm of realized volatility. Using Monte Carlo simulations I demonstrate that the estimation approach is effective in identifying and dating structural breaks. Applied to daily S & P 500 data, I find strong evidence of a single structural break in log(RV). The main effect of the break is on the long-run mean and variance of log-volatility. Chapter 3 uses a Bayesian model averaging approach to forecast realized volatility. Candidate models include HAR specifications based on the logarithm of realized volatility, realized power variation, realized bipower variation, a jump and leverage term. The Bayesian model averaging provides very competitive density forecasts and consistent but modest improvements in point forecasts over the benchmarks. Applied to equity and exchange rate volatility over several forecast horizons, the Bayesian model averaging provides the best performance compared to the benchmarks including HAR, AR and simple model averaging models. I discuss the reasons for this, including the importance of using realized power variation as a predictor. In the last chapter, I propose a new joint model of volatility and duration in high frequency framework using tick-by-tick data. This model decomposes the conditional variance into different volatility components associated with different transaction horizons. Using stock market data, I demonstrate its superiority over the traditional GARCH counterpart. In addition, I show that a fat-tailed t-distribution for return innovations and a Burr distribution for duration innovations improve density forecasts, compared with normal and exponential distribution, respectively.

Implicit Volatilities

Implicit Volatilities Book
Author : Robert Schott
Publisher : diplom.de
Release : 2008-10-22
ISBN : 3836621118
Language : En, Es, Fr & De

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Book Description :

Inhaltsangabe:Introduction: Volatility is a crucial factor widely followed in the financial world. It is not only the single unknown determinant in the Black & Scholes model to derive a theoretical option price, but also the fact that portfolios can be diversified and hedged with volatility makes it a topic, which is crucial to understand for market participants comprising a wide group of private investors and professional traders as well as issuers of derivative products upon volatility. The year 1973 was in several respects a crucial year for implicit volatility. The breakdown of the Bretton-Wood-System paved the way for derivative instruments, because of the beginning era of floating currencies. Furthermore Fischer Black and Myron Samuel Scholes published in 1973 the ground breaking Black & Scholes (BS) model in the Journal of Political Economy. This model was adopted in 1975 at the Chicago Board Options Exchange (CBOE), which also was founded in the year 1973, for pricing options. Especially since 1973 volatility has become a tremendously debated topic in financial literature with continually new insights in short-time periods. Volatility is a central feature of option-pricing models and emerged per se as an independent asset class for investment purposes. The implicit volatility, the topic of the thesis, is a market indicator widely used by all option market practitioners. In the thesis the focus lies on the implicit (implied) volatility (IV). It is the estimation of the volatility that perfectly explains the option price, given all other variables, including the price of the underlying asset in context of the BS model. At the start the BS model, which is the theoretical basic of model-specific IV models, and its variations are discussed. In the concept of volatility IV is defined and the way it is computed is given as well as a look on historical volatility. Afterwards the implied volatility surface (IVS) is presented, which is a non-flat surface, a contradiction to the ideal BS assumptions. Furthermore, reasons of the change of the implied volatility function (IVF) and the term structure are discussed. The model specific IV model is then compared to other possible volatility forecast models. Then the model-free IV methodology is presented with a step-to-step example of the calculation of the widely followed CBOE Volatility Index VIX. Finally the VIX term structure and the relevance of the IV in practice are shown up. To ensure a good [...]

Modeling Volatility in Financial Time Series

Modeling Volatility in Financial Time Series Book
Author : Jesper Boer
Publisher : LAP Lambert Academic Publishing
Release : 2010-10
ISBN : 9783843362061
Language : En, Es, Fr & De

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Book Description :

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.

Does the Options Market Predict Volatility

Does the Options Market Predict Volatility  Book
Author : Anonim
Publisher : Unknown
Release : 2006
ISBN : 0987650XXX
Language : En, Es, Fr & De

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The importance of being informed Forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades

The importance of being informed  Forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades Book
Author : Dean Fantazzini,Tamara Shangina
Publisher : Litres
Release : 2019-11-13
ISBN : 5042017135
Language : En, Es, Fr & De

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Book Description :

This paper focuses on the forecasting of market risk measures for the Russian RTS index future, and examines whether augmenting a large class of volatility models with implied volatility and Google Trends data improves the quality of the estimated risk measures. We considered a time sample of daily data from 2006 till 2019, which includes several episodes of large-scale turbulence in the Russian future market. We found that the predictive power of several models did not increase if these two variables were added, but actually decreased.The worst results were obtained when these two variables were added jointly and during periods of high volatility, when parameters estimates became very unstable. Moreover, several models augmented with these variables did not reach numerical convergence. Our empirical evidence shows that, in the case of Russian future markets, TGARCH models with implied volatility and Student’s t errors are better choices if robust market risk measures are of concern.

Volatility in Financial Markets

Volatility in Financial Markets Book
Author : Aleksandr Pereverzin
Publisher : Unknown
Release : 2020
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Volatility in Financial Markets book written by Aleksandr Pereverzin, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.