Empirical Studies on Volatility in International Stock Markets

1. Front Matter

   Pages i-xiv

   PDF

2. Introduction

   • Eugenie M. J. H. Hol

   Pages 1-6

3. Asset Return Volatility Models

   • Eugenie M. J. H. Hol

   Pages 7-26

4. The Stochastic Volatility in Mean Model: Empirical Evidence from International Stock Markets

   • Eugenie M. J. H. Hol

   Pages 27-47

5. Forecasting with Volatility Models

   • Eugenie M. J. H. Hol

   Pages 49-61

6. Implied Volatility

   • Eugenie M. J. H. Hol

   Pages 63-70

7. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility

   • Eugenie M. J. H. Hol

   Pages 71-97

8. Stock Index Volatility Forecasting with High Frequency Data

   • Eugenie M. J. H. Hol

   Pages 99-127

9. Conclusions

   • Eugenie M. J. H. Hol

   Pages 129-134

10. Back Matter

    Pages 135-161

    PDF

Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures.
The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

• GARCH
• Option Pricing
• Portfolio
• Volatility
• decision making
• development
• hedging
• modeling
• value at risk
• value-at-risk

• ING Group Credit Risk Management, Amsterdam, The Netherlands

  Eugenie M. J. H. Hol

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