This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

On Estimation Of Volatility Of Financial Time Series For Pricing Derivatives

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Michal Černý
Abstract

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used in statistical quality control - a hypothesis, that data contains a changepoint of volatility, is tested and if the test gives a positive answer, the changepoint is estimated. Then, a period of data where no changepoint is statistically significant is used to estimate contemporary volatility. The approach is illustrated on an analysis of CZK/EUR exchange rates.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.vse.cz/polek/download.php?jnl=aop&pdf=126.pdf
File Format: application/pdf
File Function:
Download Restriction: free of charge, full text delayed 1 year
File URL: http://www.vse.cz/aop/abstrakt.php3?IDcl=126
File Format: text/html
File Function:
Download Restriction: free of charge, full text delayed 1 year

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by University of Economics, Prague in its journal Acta Oeconomica Pragensia.

Volume (Year): 2008 (2008)
Issue (Month): 4 ()
Pages: 12-21
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:prg:jnlaop:v:2008:y:2008:i:4:id:126:p:12-21

Contact details of provider:
Postal: nam. W. Churchilla 4, 130 67 Praha 3
Phone: (02) 24 09 51 11
Fax: (02) 24 22 06 57
Web page: http://www.vse.cz/
More information through EDIRC

Order Information:
Postal: Redakce Acta Oeconomica Pragensia, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3
Email:
Web: http://www.vse.cz/aop/

For technical questions regarding this item, or to correct its listing, contact: (Vaclav Subrta).

Related research
Keywords: Derivative; Black-Scholes model; time series; volatility; changepoint;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

Statistics
Access and download statistics

Did you know? Use the JEL tree to browse through the database by subfields.

This page was last updated on 2009-12-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.