Course Unit 3: Models for Calculating Volatility

Dietmar Ernst and Joachim Häcker
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Dietmar Ernst: Nürtingen-Geislingen University of Applied Science (HfWU)
Joachim Häcker: Munich University of Applied Sciences

A chapter in Corporate Risk Management, 2024, pp 37-71 from Springer

Abstract: Abstract Course unit 3: Models for calculating volatility. You will be made familiar with and understand various methods of calculating moving volatilities and be able to explain them. You will be able to explain the differences and similarities between the EWMA, ARCH and GARCH models and point out their respective advantages and disadvantages. You will perform optimizations for these procedures.

Date: 2024
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DOI: 10.1007/978-3-031-53126-2_4

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