Modelling Price Volatility

Stephen J. Taylor
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Stephen J. Taylor: Lancaster University, UK

Chapter 3 in Modelling Financial Time Series, 2007, pp 62-96 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONELEMENTARY VARIANCE MODELSStep change, discrete distributionsMarkov variances, discrete distributionsStep variances, continuous distributionsMarkov variances, continuous distributionsA GENERAL VARIANCE MODELNotationMODELLING VARIANCE JUMPSMODELLING FREQUENT VARIANCE CHANGES NOT CAUSED BY PRICESGeneral modelsStationary modelsThe lognormal, autoregressive modelMODELLING FREQUENT VARIANCE CHANGES CAUSED BY PAST PRICESGeneral conceptsCaused by past squared returnsCaused by past absolute returnsARMACH modelsMODELLING AUTOCORRELATION AND VARIANCE CHANGESVariances not caused by returnsVariances caused by returnsPARAMETER ESTIMATION FOR VARIANCE MODELSPARAMETER ESTIMATES FOR PRODUCT PROCESSESLognormal AR(1)ResultsPARAMETER ESTIMATES FOR ARMACH PROCESSESResultsSUMMARYAPPENDIX 3(A) RESULTS FOR ARCH PROCESSES

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
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