Sample and Implied Volatility in GARCH Models

Journal of Financial Econometrics - United Kingdom
doi 10.1093/jjfinec/nbl002
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Oxford University Press (OUP)

Related search

Estimating Stock Market Volatility Using Asymmetric GARCH Models

Applied Financial Economics
2008English

Intraday Volatility Forecasting From Implied Volatility

International Journal of Managerial Finance
AccountingManagementFinanceBusiness
2011English

Improving GARCH Volatility Forecasts With Regime-Switching GARCH

2002English

Modeling Volatility in the Stock Markets Using GARCH Models: European Emerging Economies and Turkey

International Journal of Economics and Business Administration
ManagementFinanceBusinessEconomicsAccountingEconometrics
2014English

Empirical Analysis of Chinese Stock Market Volatility Based on GARCH Models and Markov Switching Models

2019English

Asymmetric GARCH Type Models for Asymmetric Volatility Characteristics Analysis and Wind Power Forecasting

Protection and Control of Modern Power Systems
Electronic EngineeringRiskEnergy EngineeringReliabilityElectricalSafetyPower TechnologyQuality
2019English

On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

Finance and Stochastics
UncertaintyStatisticsFinanceProbability
2007English

Implied Volatility Functions: Empirical Tests

English

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

SSRN Electronic Journal
2011English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy