Volatility Estimation Through Historical Prices of Indexes
Abstract
The volatility is the topic that has been researched in last few decades in various directions. One group of these methods includes the characteristics accumulated through the historical movements of the price of a specific instrument. Other than past data, most of them include other factors such as the stochastic part. In this paper revised are three methods of EWMA, ARCH, and GARCH.
Keywords
Historical volatility;ARCH;GARCH;EWMA
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PDFDOI: http://dx.doi.org/10.21533/scjournal.v5i1.104
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Copyright (c) 2016 Sadi Fadda
ISSN 2233 -1859
Digital Object Identifier DOI: 10.21533/scjournal
This work is licensed under a Creative Commons Attribution 4.0 International License