'Conditional variance' diaporamas de présentation

Module 3 GARCH Models

2.07k views • 66 slides

Forecasting the Return Volatility of the Exchange Rate

Forecasting the Return Volatility of the Exchange Rate. Dissertation Paper Student: Ovidiu Valentin POCAN. Goals. To analyse the predictive ability of traditional GARCH models To perform an empirical evidence for ROL/USD exchange rate

572 views • 56 slides

Ka-fu Wong University of Hong Kong

Ka-fu Wong University of Hong Kong. Volatility Measurement, Modeling, and Forecasting. Importance of volatility. Good volatility forecasts are crucial for the implementation and evaluation of asset and derivative pricing theories as well as trading and hedging strategies. Two assets:

775 views • 55 slides

Spline Garch as a Measure of Unconditional Volatility and its Global Macroeconomic Causes

Spline Garch as a Measure of Unconditional Volatility and its Global Macroeconomic Causes. Robert Engle and Jose Gonzalo Rangel NYU and UCSD. GOALS. ESTIMATE THE DETERMINANTS OF GLOBAL EQUITY VOLATILITY How are long run volatility forecasts affected by macroeconomic conditions?

690 views • 54 slides

Spline Garch as a Measure of Unconditional Volatility and its Global Macroeconomic Causes

Spline Garch as a Measure of Unconditional Volatility and its Global Macroeconomic Causes. Robert Engle and Jose Gonzalo Rangel NYU and UCSD. HISTORY OF THE US EQUITY MARKET VOLATILITY: S&P500. PLOT PRICES AND RETURNS HOW MUCH DO RETURNS FLUCTUATE?. MEAN REVERSION QUOTES.

532 views • 42 slides

Spline Garch as a Measure of Unconditional Volatility and its Global Macroeconomic Causes

Spline Garch as a Measure of Unconditional Volatility and its Global Macroeconomic Causes. Robert Engle and Jose Gonzalo Rangel NYU and UCSD. HISTORY OF THE US EQUITY MARKET VOLATILITY: S&P500. PLOT PRICES AND RETURNS HOW MUCH DO RETURNS FLUCTUATE?. MEAN REVERSION QUOTES.

597 views • 42 slides

Returns and Expected Returns

Returns and Expected Returns. 1. Holding period return P t = Price of asset at time t R t = % return from time t-1 to t CF t = cash flow from time t-1 to t - e.g. dividend R 1 = = (%capital gain) + (%dividend yield)

557 views • 38 slides

Volatility

Volatility. Chapter 10. Motivation:. Until the early 80s econometrics had focused almost solely on modeling the means of series, i.e. their actual values. Recently however we have focused increasingly on the importance of volatility, its determinates and its effects on mean values.

379 views • 37 slides

ARCH and GARCH Vaibhav Gupta MIB, Doc, DSE, DU

ARCH and GARCH Vaibhav Gupta MIB, Doc, DSE, DU. REFS RISK AND VOLATILITY: ECONOMETRIC MODELS AND FINANCIAL PRACTICE Nobel Lecture, December 8, 2003 Robert F. Engle III. Introduction. Advantage of knowing about risks: You can change your behaviour to avoid it.

384 views • 23 slides

GARCH Models and Asymmetric GARCH models

418 views • 23 slides

The Effect of Exchange Rate Volatility on the Volume of South African Exports

The Effect of Exchange Rate Volatility on the Volume of South African Exports. Presented by Siobhan Redford. Disclaimer.

375 views • 16 slides

EXCHANGE RATE RISK CASE STUDY ROMANIA

EXCHANGE RATE RISK CASE STUDY ROMANIA. STUDENT : ?UTA CORNELIA-M?D?LINA SUPERVISOR : PROF. MOIS ? ALT?R. CONTENT. Introduction Literature review Methodology Empirical assessment Conclusion Reference Appendix. Introduction.

308 views • 15 slides

All of Statistics: A Concise Course in Statistical Inference

All of Statistics: A Concise Course in Statistical Inference. Chapter 3 Expectation Prepared by Gene Shiau. The average value of X. Also known as the expectation the mean the first moment The k th moment of X is. Properties of expectations.

168 views • 8 slides