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Estimationg historical volatility of stock price

Title
Estimationg historical volatility of stock price
Authors
문미주
Issue Date
2002
Department/Major
대학원 수학과
Keywords
Estimationghistorical volatilitystock price
Publisher
The Graduate school of Ewha women university
Degree
Master
Abstract
Financial market volatility 는 투자, 옵션 가격 그리고 financial market regulation에서 중요한 값이다. 이 논문에서는 이런 중요한 값인 volatility을 estimating 하는 여러 가지 방법들에 대해 살펴보고, 이런 방법 중 EWMA와 GARCH을 이용해서 volatility를 구하는 예를 들었다.;Financial market, volatility is an important input for investment, option pric- ing and financial market regulation. In this paper, we compare the volatility forecasting findings in 16 papers published and written in the last decade. We find consists of research papers that formulate volatility forecasts based on historical price information. Provided in this paper as well are volatility definitions, insights into problematic issues of forecast evaluation, comparing two methods of volatility forecasting on Microsoft's earning.
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일반대학원 > 수학과 > Theses_Master
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