Recent developments in volatility modeling and applications
Summary: In financial modeling, it has been constantly pointed out that volatility clustering and conditional nonnormality induced leptokurtosis observed in high frequency data. Financial time series data are not adequately modeled by normal distribution, and empirical evidence on the non-normality assumption is well documented in the financial literature (details are illustrated by \textit{R. F. Engle} [Econometrica 50, 987--1007 (1982; Zbl 0491.62099)] and \textit{T. Bollerslev} [J. Econom. 31, 307--327 (1986; Zbl 0616.62119)]). An ARMA representation has been used by \textit{A. Thavaneswaran} et al. [Math. Comput. Modelling 41, No. 6--7, 723--733 (2005; Zbl 1079.62088)], to derive the kurtosis of the various class of GARCH models such as power GARCH, non-Gaussian GARCH, nonstationary and random coefficient GARCH. Several empirical studies have shown that mixture distributions are more likely to capture heteroskedasticity observed in high frequency data than normal distribution. In this paper, some results on moment properties are generalized to stationary ARMA process with GARCH errors. Application to volatility forecasts and option pricing are also discussed in some detail.
- Some recent developments in stochastic volatility modelling
- scientific article; zbMATH DE number 1253577
- Volatility, risk modeling and utility
- Handbook of Volatility Models and Their Applications
- On the applicability of stochastic volatility models
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Introduction to the special issue on volatility modelling
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A nonlinear time series model and estimation of missing observations
- A simple nonlinear time series model with misleading linear properties
- ARCH models and financial applications
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Forecasting volatility
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 5211919 (Why is no real title available?)
- scientific article; zbMATH DE number 2230444 (Why is no real title available?)
- Moments of Markov switching models
- Prediction via estimating functions
- Properties of moments of a family of GARCH processes
- Random coefficient autoregression, regime switching and long memory
- Random coefficient autoregressive models: an introduction
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Random coefficient GARCH models
- RCA models with correlated errors
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
- Editorial. Quantitative developments in financial volatility -- theory and practice
- Improving ARMA-GARCH forecasts for high frequency data with regime-switching ARMA-GARCH
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
- Handbook of Volatility Models and Their Applications
- Random coefficient GARCH models
- Random coefficient mixture (RCM) GARCH models
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