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About QF I Lecture4
This document provides an overview of quantitative finance modeling of volatility. It discusses key characteristics of volatility such as clustering and leverage effects. Historical and exponential volatility estimators are introduced. Autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) models are described as frameworks for modeling time-varying volatility. The GARCH(1,1) model is highlighted as most commonly used. Variations including GARCH-in-mean and integrated GARCH models are also summarized. Artificial processes are generated to illustrate the different volatility models.
Detailed Information
| Author: | ['Nikolay Kolarov'] |
|---|---|
| Publication Year: | 2012 |
| Pages: | 13 |
| Language: | English |
| Format: | |
| Price: | FREE |
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