Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index

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Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index

Volatility forecasting in an important area of research in financial markets and immense effort expended in improving volatility models, since better forecasts will ultimately lead to more accurate options pricing and better risk management. This thesis attempts at modeling and forecasting the volat...

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Bibliographic Details
Main Author:	ZHU, Lin
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2013
Subjects:	GARCH TGARCH GJR EGARCH modeling volatility forecasting volatility
Online Access:	https://eprints.nottingham.ac.uk/26770/

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