back start
[start] [1] [2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] [23] [24] [25] [26] [27] [28] [29] [30] [31] [32] [33] [34] [35] [36] [37] [38] [39] [40] [41] [42] [43] [44] [45] [46] [47] [48] [49] [50] [51] [52] [53] [54] [55] [56] [57] [58] [59] [60] [61] [62] [63] [64] [65] [66] [67] [68] [69] [70] [71] [72] [73] [74] [75] [76] [77] [78] [79] [80] [81] [82] [83] [84] [85] [86] [87] [88] [89] [90] [91] [92] [93] [94] [95] [96] [97] [98] [99] [100] [101] [102] [103] [104] [105] [106] [107] [108] [109] [110] [111] [112] [113] [114] [115] [116] [117] [118] [119] [120] [121] [122] [123] [124] [125] [126] [127] [128] [129] [130] [131] [132] [133] [134] [135] [136] [137] [138] [139] [140] [141] [142] [143] [144] [145] [146] [147] [148] [149] [150] [151] [152] [153] [154] [155] [156] [157] [158] [159] [160] [161] [162] [163] [164] [165] [ 166 ]
166 spiky, 73, 78, 85, 86, 91 statistical see Statistical volatility stochastic see Stochastic volatility surfaces see Volatility smile surface; Volatility surfaces term structures see Volatility term structures time horizon, 18 time-varying volatility models, 12-14 uncertainty, 18 unconditional see Unconditional volatility Volatility clustering, asymmetry, 68, 79 autoregressive conditional heteroscedasticity (ARCH), 63, 65-7, 97, 386 commodity markets, 65 currency markets, 65, 97 equity markets, 65 excess kurtosis, 66, 67 mean-reversion, 31 news announcements, 65-6 skews, 66, 67 square root of time rule, 97 Volatility cones, 29 Volatility estimates and forecasts, A-GARCH, 80-1, 99 academic research, 120 benchmark forecast, 118 central values, 119 combined forecasts, 118, 129-34 confidence intervals, 118, 119, 126-34 different horizons, 29, 98 evaluation, 117 exponential GARCH (E-GARCH), 80 exponentially weighted moving average (EWMA), 57-8, 60, 119 extreme values, 119 GARCH, 73-5, 81, 93, 98, 99-100 historic volatility, 50-2, 57, 128 I-GARCH. 76, 77 implied volatility, 117-18, 124-5 long-term. 85-91, 92, 98, 99 look-back periods, 57 mark-to-model values, 135 mean-reversion. 75, 79 moving averages. 126-8 out-of-sample likelihood. 121 point forecasts. 118. 126 process volatility 117. 118. 129 n>k honzon>. 11. 43. 57. 60. 117 root mean square error (RMSE), 122-3 standard deviation. 121 standard error, 118-19, 126, 127 straddles, 124 uncertainty, 119 underlying volatility, 117 variance, 50 Volatility sensitivity, ATM volatility, 167, 168, 169 option vega, 24 prices, 34, 43, 44 Volatility smile surface, implied volatility, 106, 154 N-GARCH, 81, 106, 107 volatility surface distinguished, 33 Volatility surfaces, implied volatility, 32-4 parameterization, 167-70 quadratic, 38, 45, 144, 168 Taylor approximations, 169 volatility process, 11 volatility smile surface distinguished, 33 Volatility term structures, call options, 31, 32 constant volatility, 61, 99 convergence, 12, 75, 76, 97-8, 102-3 currency markets, 102 equity markets, 101-3 GARCH models, 32, 50, 61, 64, 80, 85, 98-103, 212 implied volatility, 31-2, 78 mean-reversion, 61, 98, 109, 111 put options, 31, 32 returns of different frequencies, 5 scenario analysis, 92 Weibull distribution, 293, 294 Weighted average, see also Historic correlation, Historic volatility beta, 109 EWMA .see Exponentially weighted moving average ghost features, 53, 60, 125 historic volatility, 49, 50, 52-3 RiskMetrics data, 179, 201 sampling error, 49 short-term, 53 unconditional correlation, 49 unconditional variance, 50 unconditional volatility, 49 variance forecasts, 126 Whites test, 432 Wiener process, 21. 104 WTI (West Texas Intermediate). 55. "8. Ill
Yield curves, scenario analysis, 143 modelling multiple yield curves, 149-53 trend/tilt/convexity, 147-9 principal component analysis (PCA), 147-53 Zero-coupon bonds, 147-8, 182,
[start] [1] [2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] [23] [24] [25] [26] [27] [28] [29] [30] [31] [32] [33] [34] [35] [36] [37] [38] [39] [40] [41] [42] [43] [44] [45] [46] [47] [48] [49] [50] [51] [52] [53] [54] [55] [56] [57] [58] [59] [60] [61] [62] [63] [64] [65] [66] [67] [68] [69] [70] [71] [72] [73] [74] [75] [76] [77] [78] [79] [80] [81] [82] [83] [84] [85] [86] [87] [88] [89] [90] [91] [92] [93] [94] [95] [96] [97] [98] [99] [100] [101] [102] [103] [104] [105] [106] [107] [108] [109] [110] [111] [112] [113] [114] [115] [116] [117] [118] [119] [120] [121] [122] [123] [124] [125] [126] [127] [128] [129] [130] [131] [132] [133] [134] [135] [136] [137] [138] [139] [140] [141] [142] [143] [144] [145] [146] [147] [148] [149] [150] [151] [152] [153] [154] [155] [156] [157] [158] [159] [160] [161] [162] [163] [164] [165] [ 166 ]
|
|