IMPLICATION OF HEAVY-TAILED DISTRIBUTION IN STOCHASTIC VOLATILITY (SV) MODEL
Stochastic Volatility (SV) is one of the volatility models used to predict volatility of stock returns. In the SV model, volatility is assumed to follow Autoregressive (AR) stochastic process. Most of SV model is generated based on the normality assumption of their stock returns data. This assump...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/39707 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
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