Forecasting Volatility and Option Pricing with GARCH Models

  • Jürgen Kähler
Conference paper


In this paper I will explore the applicability of GARCH (generalized autoregressive conditional heteroskedasticity) models to the modelling of volatility in financial markets. More specifically, I will examine the forecasting performance of GARCH models for the volatility of foreign exchange rates and study the implications of these models for option pricing.


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Copyright information

© Springer-Verlag Berlin Heidelberg 1993

Authors and Affiliations

  • Jürgen Kähler
    • 1
  1. 1.Zentrum für Europäische Wirtschaftsforschung (ZEW)Mannheim 1Germany

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