Garch Models: Forecasting Volatility and Pricing Options
Volatility is unobservable and a very essential input to the option pricing models and for risk management purposes. Historical volatility is not a good indicator of future volatility and in the literature GARCH model of Bollerslev (1986) is often proved to be very accurate in forecasting future vol...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2010
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| Online Access: | https://eprints.nottingham.ac.uk/23480/ |