Bist 30 Hisse Senetlerinin Gelecekteki Değerlerinin Geometrik Brownıan Hareketi İle Tahmini Ve Arıma, Sarıma, Garch, Egarch, Gjr Modelleri İle Volatilite Analizi
نویسندگان
چکیده
منابع مشابه
Approximating the GJR-GARCH and EGARCH Option Pricing Models Analytically
In Duan, Gauthier and Simonato (1999), an analytical approximate formula for European options in the GARCH framework was developed. The formula is however restricted to the nonlinear asymmetric GARCH model. This paper extends the same approach to two other important GARCH specifications GJR-GARCH and EGARCH. We provide the corresponding formulas and study their numerical performance. keywords: ...
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ژورنال
عنوان ژورنال: Maliye Finans Yazıları
سال: 2021
ISSN: 1308-6014
DOI: 10.33203/mfy.844861