Volatility of Financial Time Series

Tomas Cipra ()
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Tomas Cipra: Charles University, Faculty of Mathematics and Physics

Chapter Chapter 8 in Time Series in Economics and Finance, 2020, pp 199-230 from Springer

Abstract: Abstract The models introduced in previous chapters can be mostly considered as linear models (e.g., the linear process from Sect. 6.2 is linear function of white noise values) or can be linearized by a simple transformation (e.g., the logarithmic transformation). However, many relations in economy and particularly in finance are principally nonlinear (e.g., dependence of volatility of financial time series on previous time series values). Therefore, various nonlinear models are preferred in finance, since they fit better the substance of financial data.

Date: 2020
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DOI: 10.1007/978-3-030-46347-2_8

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