NORMAL-INVERSE GAUSSIAN STOCHASTIC VOLATILITY MODEL
Normal-Inverse Gaussian Stochastic Volatility model (NIGSV) is a one of volatility model to predict the future return of the price of a financial asset. This model incorporates the concept of volatility models GARCH and SVAR. NIGSV model volatility defined as an inverse gaussian distribution random...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/15272 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |