Volatility bands with predictive validity∗
نویسنده
چکیده
The issue of volatility bands is re-visited. It is shown how the rolling geometric mean of a price series can serve as the centerline of a novel set of bands that enjoy a number of favorable properties including predictive validity. Acknowledgment. Many thanks are due to A. Venetoulias of Quadrant Management for introducing me to Bollinger bands, to K. Thompson of Granite Portfolios for the incitement to re-visit this issue, and to two reviewers for their helpful comments. ∗Paper to appear in the Journal of Technical Analysis in Jan./Feb. 2007.
منابع مشابه
Comparing the performance of GARCH (p,q) models with different methods of estimation for forecasting crude oil market volatility
The use of GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper the efficiency of six univariate GARCH models and two methods of estimation the parameters for forecasting oil price volatility are examined and the best method for forecasting crude oil price volatility of Brent market is determined. All the examined models in this p...
متن کاملA Monthly Volatility Index for the Us Economy
We estimate the monthly volatility of the US economy from 1968 to 2006 by extending the coincident index model of Stock and Watson (1991). Our volatility index, which we call VOLINX, has four applications. First, it sheds light on the Great Moderation. VOLINX captures the decrease in the volatility in the mid-80s as well as the different episodes of stress over the sample period. In the 70s and...
متن کاملLong memory stochastic volatility in option pricing
The aim of this paper is to present a stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence. We consider the option price as a sum of classical Black-Scholes price and random deviation describing the risk from the random volatility. By using the ...
متن کاملOn the Substantive and Predictive Validity Facets of the University Entrance Exam for English Majors
This study examined the substantive and predictive validity facets of the University Entrance Examination for English Major (UEEEM) students. To that aim, 111 English major students were recruited to report their scores on each of the subtests of the test as well as their grade point average. Sequential multiple regressions and factor analysis were used in the analysis of the data. Results ackn...
متن کاملFiltering With Confidence: In-sample Confidence Bands For GARCH Filters
There is vast empirical evidence that for many economic variables conditional variances and covariances change over time. Given the importance of heteroscedasticity in finance and macroeconomics1 it is not surprising that estimation of the time-varying volatility has attracted substantial attention in the literature. As any time-varying parameter, volatility can be modelled both with observatio...
متن کامل