'Garch model' presentation slideshows

Doctoral School of Finance and Banking Academy of Economic Studies Bucharest

889 views • 76 slides

719 views • 59 slides

WHY IS VOLATILITY SO HIGH?

WHY IS VOLATILITY SO HIGH?. Robert Engle Stern School of Business 2 th Annual Risk Management Conference, RMI, NUS. MODELING VOLATILITY. Can we measure and forecast volatility when it is changing? Why does it change? How well does this work in turbulent times?. MODELING VOLATILITY.

581 views • 46 slides

USING A GENETIC PROGRAM TO PREDICT EXCHANGE RATE VOLATILITY

USING A GENETIC PROGRAM TO PREDICT EXCHANGE RATE VOLATILITY. Christopher J. Neely Paul A. Weller. Outline. Introduction The Genetic Program Data and Implementation Experimental Designs Results Conclusion Discussion. Introduction.

535 views • 43 slides

Pricing No-Negative-Equity-Guarantee for Equity Release Products under a Jump ARMA-GARCH Model

Pricing No-Negative-Equity-Guarantee for Equity Release Products under a Jump ARMA-GARCH Model. Presenter: Sharon Yang Co-authors: Chuang-Chang Chang Jr-Wei Huang National Central University, Taiwan. Outline. Introduction. Investigation of House Price Return Dynamics With Jumps.

730 views • 34 slides

Ying & Yen

Ying & Yen. Carson Marries Anthony Mader Mickey Sun Edgar Torres Alex Vicente. Ying & Yen. Carson Moko Anthony Kamakazi Mickey Sumimato Edgar Terriaki Alex Yamamuchi. Data. From 1971 to Present (Monthly) 387 Observations Federal Reserve Bank St Louis (Fred).

398 views • 21 slides

KYIV SCHOOL OF ECONOMICS Financial Econometrics (2nd part): Introduction to Financial Time Series

KYIV SCHOOL OF ECONOMICS Financial Econometrics (2nd part): Introduction to Financial Time Series May 2011 Instructor: Maksym Obrizan Lecture notes II. # 2. This lecture: Very brief summary of ARCH-GARCH and their shortcomings A few more advanced models (TAR, MSA)

264 views • 10 slides