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New methods of estimating stochastic volatility and the stock return

Author

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  • Alghalith, Moawia

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.

Suggested Citation

  • Alghalith, Moawia, 2010. "New methods of estimating stochastic volatility and the stock return," MPRA Paper 20303, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:20303
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    File URL: https://mpra.ub.uni-muenchen.de/20303/2/MPRA_paper_20303.pdf
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    References listed on IDEAS

    as
    1. Alghalith, Moawia, 2008. "Recent applications of theory of the firm under uncertainty," European Journal of Operational Research, Elsevier, vol. 186(2), pages 443-450, April.
    2. Jaksa Cvitanic & Fernando Zapatero, 2004. "Introduction to the Economics and Mathematics of Financial Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262532654, January.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    portfolio; investment; stock; stochastic volatility;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G0 - Financial Economics - - General

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