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Volatility Models

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  • KIMIO MORIMUNE

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.

Suggested Citation

  • Kimio Morimune, 2007. "Volatility Models," The Japanese Economic Review, Japanese Economic Association, vol. 58(1), pages 1-23, March.
    • Handle: RePEc:bla:jecrev:v:58:y:2007:i:1:p:1-23
    DOI: 10.1111/j.1468-5876.2007.00411.x
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    References listed on IDEAS

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    1. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
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    Cited by:

    1. Alexandre Subbotin, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    2. Ahmad Zubaidi Baharumshah & Akram Hasanov & Stilianos Fountas, 2011. "Inflation and inflation uncertainty: Evidence from two Transition Economies," Discussion Paper Series 2011_05, Department of Economics, University of Macedonia, revised Apr 2011.
    3. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    4. Hassan Heidari & Salih Turan Katircioglu & Sahar Bashiri, 2013. "Inflation, inflation uncertainty and growth in the Iranian economy: an application of BGARCH-M model with BEKK approach," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 14(5), pages 819-832, November.
    5. Hasanov, Akram Shavkatovich & Do, Hung Xuan & Shaiban, Mohammed Sharaf, 2016. "Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis," Energy Economics, Elsevier, vol. 57(C), pages 16-27.

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