NORMAL-INVERSE GAUSSIAN STOCHASTIC VOLATILITY MODEL

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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Main Author: VIRGIAWAN ANDINKA (NIM : 10108059); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, DANI
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
id id-itb.:15272
spelling id-itb.:152722017-09-27T11:42:59ZNORMAL-INVERSE GAUSSIAN STOCHASTIC VOLATILITY MODEL VIRGIAWAN ANDINKA (NIM : 10108059); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, DANI Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/15272 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. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description 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.
format Final Project
author VIRGIAWAN ANDINKA (NIM : 10108059); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, DANI
spellingShingle VIRGIAWAN ANDINKA (NIM : 10108059); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, DANI
NORMAL-INVERSE GAUSSIAN STOCHASTIC VOLATILITY MODEL
author_facet VIRGIAWAN ANDINKA (NIM : 10108059); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, DANI
author_sort VIRGIAWAN ANDINKA (NIM : 10108059); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, DANI
title NORMAL-INVERSE GAUSSIAN STOCHASTIC VOLATILITY MODEL
title_short NORMAL-INVERSE GAUSSIAN STOCHASTIC VOLATILITY MODEL
title_full NORMAL-INVERSE GAUSSIAN STOCHASTIC VOLATILITY MODEL
title_fullStr NORMAL-INVERSE GAUSSIAN STOCHASTIC VOLATILITY MODEL
title_full_unstemmed NORMAL-INVERSE GAUSSIAN STOCHASTIC VOLATILITY MODEL
title_sort normal-inverse gaussian stochastic volatility model
url https://digilib.itb.ac.id/gdl/view/15272
_version_ 1820737433064439808

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