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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1992
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/214 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |
Be the first to leave a comment!