Non-parametric estimation of historical volatility

Autor:	John Randal, Peter Thomson, Martin Lally
Rok vydání:	2004
Předmět:	Stochastic volatility Valuation of options Financial models with long-tailed distributions and volatility clustering Financial risk Statistics Economics Forward volatility Econometrics Estimator Implied volatility Volatility (finance) General Economics Econometrics and Finance Finance
Zdroj:	Quantitative Finance. 4:427-440
ISSN:	1469-7696 1469-7688
Popis:	Evolving volatility is a dominant feature observed in most financial time series and a key parameter used in option pricing and many other financial risk analyses. A number of methods for non-parametric scale estimation are reviewed and assessed with regard to the stylized features of financial time series. A new non-parametric procedure for estimating historical volatility is proposed based on local maximum likelihood estimation for the t-distribution. The performance of this procedure is assessed using simulated and real price data and is found to be the best among estimators we consider. We propose that it replaces the moving variance historical volatility estimator.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1d8c4c8275922fd5dc75af7d8218b91a https://doi.org/10.1080/14697680400008692 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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