Read more
Informationen zum Autor About the author Dr SER-HUANG POON was promoted to Professor of Finance at Manchester University in 2003. Prior to that, she was a senior lecturer at Strathclyde University. Ser-Huang graduated from the National University of Singapore and obtained her masters and PhD from Lancaster University, UK. She has researched financial market volatility for many years and has published in many top ranking peer reviewed finance and financial econometric journals with many co-authors from around the world. Her financial market volatility work was cited as a reference reading on the Nobel web site in 2003. Klappentext Volatility forecasting is crucial for option pricing, risk management and portfolio management. This book gives clear and practical guidance on how to model and forecast volatility using only volatility models that have been tested for their forecasting performance. The book focuses on describing, evaluating and comparing research in volatility forecasting and provides some background on volatility definition, estimation and some principles on forecasts evaluation. The book covers both time series econometric volatility models and implied volatility model based on Black-Scholes and continuous time stochastic volatility option pricing models."The present book by Professor Ser-Huang Poon surveys this literature carefully and provides a very useful summary of the results available. By so doing, she allows any interested worker to quickly catch up with the field and also to discover the areas that are still available for further exploration."--Sir Clive W. J. Granger, University of California in San Diego"Professor Poon exposes in her book current state-of-the-art volatility forecasting methods. Beginning with a description of various conditional volatility models, be it discrete or continuous, the link with option pricing models is well established. The book proceeds with surveying the current volatility literature: what type of volatility should be used to price options, how can volatility of various assets be predicted, how volatility can be used within a value-at-risk setting. This well written book should be useful both for the practitioner and the academic/student interested in volatility."--Professor Michael Rockinger, FAME and University of Lausanne, Switzerland Zusammenfassung Volatility forecasting is an important topic in the finance industry and many areas of finance research. There are many books written on financial market modelling, but few on volatility forecasting and the practical use of these models. Inhaltsverzeichnis Foreword by Clive Granger xiii Preface xv 1 Volatility Definition and Estimation 1 1.1 What is volatility? 1 1.2 Financial market stylized facts 3 1.3 Volatility estimation 10 1.3.1 Using squared return as a proxy for daily volatility 11 1.3.2 Using the high-low measure to proxy volatility 12 1.3.3 Realized volatility, quadratic variation and jumps 14 1.3.4 Scaling and actual volatility 16 1.4 The treatment of large numbers 17 2 Volatility Forecast Evaluation 21 2.1 The form of Xt 21 2.2 Error statistics and the form of ¿t 23 2.3 Comparing forecast errors of different models 24 2.3.1 Diebold and Mariano's asymptotic test 26 2.3.2 Diebold and Mariano's sign test 27 2.3.3 Diebold and Mariano'sWilcoxon sign-rank test 27 2.3.4 Serially correlated loss differentials 28 2.4 Regression-based forecast efficiency and orthogonality test 28 2.5 Other issues in forecast evaluation 30 3 Historical Volatility Models 31 3.1 Modelling issues 31 3.2 Types of historical volatility models 32 3.2.1 Single-state historical volatility models 32 3.2.2 Regime switching and transition exponential smoothing 34 3.3 Forecasting p...
