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 |
| Summary: | 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 variable, given the information earlier return. In addition, the structure moment of the NIGSV model, especially first order NIGSV model (NIGSV(1)), can be obtained explicit form. The maximum likelihood method applied to estimate the parameters then computed numerically. With Monte Carlo simulation the accuracy of estimating the parameters can be evaluated. Furthermore NIGSV(1) model be applied to empirical data which will be tested its normality first and then the match with model is identified. |
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