New methods of estimating stochastic volatility and the stock return

Moawia Alghalith

MPRA Paper from University Library of Munich, Germany

Abstract: We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.

Keywords: portfolio; investment; stock; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C13 G0 G12 (search for similar items in EconPapers)
Date: 2010-01-28
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20303

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