VOLATILITY MODELS*

Kimio Morimune

The Japanese Economic Review, 2007, vol. 58, issue 1, 1-23

Abstract: Models for estimating the volatility of financial assets are reviewed in this paper. The volatility can be estimated by the univariate GARCH family of models, or stochastic volatility models. These univariate models are developed intomultivariate models. Finally, the search for an adequate framework for the estimation has led to the analysis of high frequency intraday data. The variance over a fixed interval can be estimated accurately as the sum of squared realizations, provided the data are available at sufficiently high sampling frequencies. The future of this new area is wide open for theoretical developments and for applied studies.

Date: 2007
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