Estimating Stochastic Volatility: The Rough Side to Equity Returns
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چکیده
This Project evaluates the forecasting performance of a Brownian Semi-Stationary (BSS) process in modelling the volatility of 21 equity indices. We implement a sophisticated Hybrid Scheme to simulate BSS processes with high efficiency and precision. These simulations are useful to price derivatives, accounting for rough volatility. Then we calibrate the BSS parameters for the realised kernel of 21 equity indices, using data from the Oxford-Man Institute. We conduct oneand ten-step ahead forecasts on six indices and find that the BSS outperforms our benchmarks, including a Log-HAR specification, in the majority of cases. Authors: Reviewers: Lukas Grimm Prof. Christian Brownlees Jonathan Haynes Prof. Eulalia Nualart Daniel Schmitt Barcelona, 31 May 2017
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تاریخ انتشار 2017