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Results tagged with volatility
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user 5078
A measure of the variation in price over time. Also a measure of the risk of a financial instrument.
12
votes
2
answers
716
views
How to estimate the following model?
Suppose I have the following model:
$$r_t=\sigma_t * \epsilon_t$$
where $r_t$ is the return at time t, $\sigma_t$ is the volatility, the model used to model this volatility is an exponentially weighted … Second question:
Suppose the volatility is modeled by an ARCH process. …
CommunityBot
- 1
7
votes
1
answer
2k
views
Fitting distributions to financial data using volatility model to estimate VaR
The R code could look like (data):
volatility<-0
quantile<-0
for(i in 11:length(dat)){
volatility[i]<-sd(dat[(i-10):(i-1)])
}
for(i in 1:length(dat)){
quantile[i]<-qnorm(0.975,mean=0,sd=volatility[i] … No matter what volatility model they use, I cannot understand the connection of distribution and volatility model. …
- 121