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Modelling Price Volatility

In: Modelling Financial Time Series

Author

Listed:
  • STEPHEN J. TAYLOR

    (Lancaster University, UK)

Abstract

The 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

Suggested Citation

  • Stephen J. Taylor, 2007. "Modelling Price Volatility," World Scientific Book Chapters, in: Modelling Financial Time Series, chapter 3, pages 62-96, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812770851_0003
    as

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