Financial Time Series and Their Volatility: A Survey
AbstractIn this paper I describe several methods of volatility estimation. First I focus on the classical parametric methods of variance estimation, such as the historical method, the implied volatility method and GARCH modeling. I also briefly review some stochastic volatility approaches. Then I examine the more recent nonparametric techniques including the kernel regression and local polynomial fits.
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Bibliographic InfoArticle provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.
Volume (Year): 6 (1999)
Issue (Month): 10 ()
volatility estimation; GARCH modeling; nonparametric techniques; kernel regression;
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