Estimating Volatilities and Correlations ppt课件

发布时间:2017-09-19

课件大小:0.08 MB

所属栏目:经管类

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课件等级:Estimating Volatilities and Correlations ppt课件推荐等级为5星

简略标题:Estimating Volatilities and Correlat

应用环境:应用于多媒体教学

制作使用软件:PowerPoint

应用阶段:经济

Estimating Volatilities and Correlations ppt课件介绍及下载


Estimating Volatilities and Correlations ppt课件内容预览:Estimating Volatilities and CorrelationsChapter 15Standard Approach to Estimating Volatility (Equation 15.1)Define sn as the volatility per day between day n-1and day n,as estimated at end of day n-1Define Si as the value of market variable at end of day iDefine ui=ln(SiSi-1)Simplifications Usually Made(Equation 15.4)Define ui as (Si-Si-1)Si-1Assume that the mean value of ui is zeroReplace m-1by mThis gives (MLE)Weighting SchemeInstead of assigning equal weights to the observations we can setARCH(m) ModelIn an ARCH(m)model we also assign some weight to the long-run variance rate, V:EWMA Model (Equation 15.7)Attractions of EWMARelatively little data needs to beEstimating Volatilities and Correlations little data needs to be
课件关键字:Estimating Volatilities and Co。
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