ON ASYMMETRIC VOLATILITY AND STOCHASTIC VOLATILITY MODELS
Volatility and forecasting volatility have become important talk among nancial practitioners as well as academia. Incorrect calculation on volatility of asset returns may lead to false risk management and capital ineciency. From academia point of view, modeling volatility is statistically challen...
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| Format: | Theses |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/33999 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Volatility and forecasting volatility have become important talk among nancial
practitioners as well as academia. Incorrect calculation on volatility of asset returns
may lead to false risk management and capital ineciency. From academia point of
view, modeling volatility is statistically challenging and its derivation may be com-
plicated. Therefore, it is a need to work with and use appropriate volatility model.
We explore some stylized facts of asset returns especially asymmetric behavior
of returns and volatility. Firstly, we provide detailed interpretation on asymmetric
property by using both real and simulation data. We then employ some common
volatility models and test whether such models capture the property. It is found that
EGARCH and SVAR models are among the best ones that can capture this property. |
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