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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id-itb.:339992019-02-01T09:33:14ZON ASYMMETRIC VOLATILITY AND STOCHASTIC VOLATILITY MODELS Aurora, Vanessa Matematika Indonesia Theses Conditional variance, EGARCH, forecasting volatility, leverage eect on return. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/33999 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. text |
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Matematika Aurora, Vanessa ON ASYMMETRIC VOLATILITY AND STOCHASTIC VOLATILITY MODELS |
| description |
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. |
| format |
Theses |
| author |
Aurora, Vanessa |
| author_facet |
Aurora, Vanessa |
| author_sort |
Aurora, Vanessa |
| title |
ON ASYMMETRIC VOLATILITY AND STOCHASTIC VOLATILITY MODELS |
| title_short |
ON ASYMMETRIC VOLATILITY AND STOCHASTIC VOLATILITY MODELS |
| title_full |
ON ASYMMETRIC VOLATILITY AND STOCHASTIC VOLATILITY MODELS |
| title_fullStr |
ON ASYMMETRIC VOLATILITY AND STOCHASTIC VOLATILITY MODELS |
| title_full_unstemmed |
ON ASYMMETRIC VOLATILITY AND STOCHASTIC VOLATILITY MODELS |
| title_sort |
on asymmetric volatility and stochastic volatility models |
| url |
https://digilib.itb.ac.id/gdl/view/33999 |
| _version_ |
1821996649138880512 |