Volatility Modelling in Finance : A Survey - Collections

＜departmental bulletin paper＞
Volatility Modelling in Finance : A Survey

Creator	Creator Name Bala, Dahiru Abdullahi Affiliation Affiliation Name Department of Economic Engineering, Graduate School of Economics, Kyushu University
Language	English
Publisher	九州大学大学院経済学会
Publisher	Kyushu Daigaku Daigakuin Keizaigakukai
Date	2015-07-27
Source Title	The Keizai Ronkyu
Vol	152
First Page	27
Last Page	63
Publication Type	Version of Record
Access Rights	open access
JaLC DOI	https://doi.org/10.15017/1522106
Table of Contents	1 Introduction 2 Univariate Volatility Models 3 Nonlinear GARCH Volatility Models 4 Stochastic Volatility (SV) Models 5 Multivariate GARCH Volatility Models 6 Realised Volatility (RV) Modelling 7 Volatility Models Forecasting 8 Applications of Volatility Models to Financial Returns 9 Volatility Impulse Response Functions (VIRF) Modelling 10 Conclusion

File	FileType	Size	Views	Description
p027	pdf	0.99 MB	483

PISSN	0451-6230
NCID	AN00071436
Record ID	1522106
Peer-Reviewed	Unrefereed
Subject Terms	Volatility Models
	Generalised Autoregressive Conditional Heteroscedastic
	GARCH
	MGARCH
	Stochastic Volatility
	SV
	Realised Volatility
	RV
	Volatility Impulse Response Functions
	VIRF
	Finance
Created Date	2015.08.06
Modified Date	2020.10.14