Garch Models: Forecasting Volatility and Pricing Options

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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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Bibliographic Details
Main Author:	Joshi, Sahil
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2010
Online Access:	https://eprints.nottingham.ac.uk/23480/

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