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Stochastic Volatility and Realized Stochastic Volatility Models by Makoto Takahashi; Yasuhiro Omori; Toshiaki Watanabe is a nonfiction available to read on EtoBox.

What is Stochastic Volatility and Realized Stochastic Volatility Models about?

This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall. The book also explores an extension of the basic stochastic volatility model, incorporating a skewed return error distribution and a realized volatility measurement equation. The concept of realized volatility, a newly established estimator of volatility using intraday returns data, is introduced, and a comprehensive description of the resulting realized stochastic volatility model is provided. The tex

Who reads Stochastic Volatility and Realized Stochastic Volatility Models?

Author

Makoto Takahashi; Yasuhiro Omori; Toshiaki Watanabe

Publisher

Springer Nature Singapore Pte Ltd Fka Springer Science + Business Media Singapore Pte Ltd

Published

2023

Language

EN

ISBN

9789819909346

Category

nonfiction

Subjects

Business, Science, Mathematics