ANALYSING VOLATILITY IN EQUITY INDICES � A MARKOV APPROACH FOR BOTSWANA DOMESTIC COMPANY INDICES
نویسندگان
چکیده
منابع مشابه
GARCH-based Volatility Forecasts for Market Volatility Indices
Volatility forecasting is one of the main issues in the financial econometrics literature. Volatility measures may be derived from statistical models for conditional variance, or from option prices. In recent times, indices have been suggested which summarize the implied volatility of widely traded market index options. One such index is the so-called VXN, an average of 30-day ahead implied vol...
متن کاملAn Engineering Approach to Forecast Volatility of Financial Indices
By systematically applying different engineering methods, difficult financial problems become approachable. Using a combination of theory and techniques such as wavelet transform, time series data mining, Markov chain based discrete stochastic optimization, and evolutionary algorithms, this work formulated a strategy to characterize and forecast non-linear time series. It attempted to extract t...
متن کاملAn Engineering Approach to Forecast Volatility of Financial Indices Irwin
By systematically applying different engineering methods, difficult financial problems become approachable. Using a combination of theory and techniques such as wavelet transform, time series data mining, Markov chain based discrete stochastic optimization, and evolutionary algorithms, this work formulated a strategy to characterize and forecast non-linear time series. It attempted to extract t...
متن کاملVolatility Indices and State-preference Pricing
This paper is the first to use a state-preference pricing approach with BlackScholes analytic second derivatives to develop a forward-looking volatility index (FIX), as a forecast of the next 30-day market risk-neutral volatility. Using S&P 500 index (SPX) option prices from 1996 to 2010, we find that FIX is 99% correlated with the current CBOE volatility index (VIX) and it is a better estimato...
متن کاملEquity Premium Predictions with Adaptive Macro Indices
Fundamental economic conditions are crucial determinants of equity premia. However, commonly used predictors do not adequately capture the changing nature of economic conditions and hence have limited power in forecasting equity returns. To address the inadequacy, this paper constructs macro indices from large datasets and adaptively chooses optimal indices to predict stock returns. I find that...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The South African Journal of Industrial Engineering
سال: 2011
ISSN: 1012-277X
DOI: 10.7166/22-1-35