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About Vol Modeling (ARCH, GARCH, LR Etc.)
This document summarizes a lecture on volatility modeling. It discusses defining volatility as the standard deviation of changes in a financial security's price. It then covers historical methods of measuring volatility from price data as well as models like geometric Brownian motion, Poisson jump diffusions, autoregressive conditional heteroskedasticity (ARCH) models, and generalized ARCH (GARCH) models that can be used to predict future volatility. The lecture also discusses evaluating volatility prediction performance and benchmarking methodologies.
Detailed Information
Author: | ['Vaibhav Vijay'] |
---|---|
Publication Year: | 2017 |
Pages: | 31 |
Language: | English |
Format: | |
Price: | FREE |
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