Essays about: "GARCHModel"
Found 1 essay containing the word GARCHModel.
1. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting PowerUniversity essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi
Abstract : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. READ MORE