Forecasting Volatility in the Singapore Stock Market
Data from the Stock Exchange of Singapore (SES) are used to compare 3 methods of forecasting the volatility of derivative securities: 1. the naive method based on historical sample variance, 2. the exponentially weighted moving average (EWMA) method, and 3. the generalized autoregressive conditional...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
1992
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/214 |
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