10 views

Uploaded by James Jiang

- 9129-34511-1-PB (2)
- Moon 2010
- 1.3_Risk+Taking+A+Corporate+Governance+Perspective+风险承担%3A公司治理的角度+%282015考纲本节删除，选修%29
- First Few Pages
- PrevisÃ£o _ Garch 01
- 2.1_Probabilities+概率
- 2.13_Modeling+Cycles%3A+MA%2C+AR%2C+and+ARMA+Models+建模周期：MA%2C+AR%2C+和ARMA+模型
- 2006 Jef
- 1.4_Risk+Management%3A+A+Helicopter+View+风险管理：从一个宏观、全局的角度看
- IJEBEA14-114
- 1.6_Corporate+Governance+and+Risk+Management+公司治理与风险管理
- Measuring Volatility in GDP
- 1.5_Corporate+Risk+Management%3A+A+Primer+公司风险管理：入门知识
- 3_VRM 2_SSEI
- 1.9_Financial+Disasters+金融灾难
- 2 - 331statistics05b - Quickie Statistics Summary
- FRM 2017 Part I - Quicksheet
- abm2_econometrica
- Which of the following are measures of central tendency_ Select all that apply A++
- Measuring Market Risk Philippe Jorion

You are on page 1of 21

1-21

Estimating Volatility

Define n as the volatility of a market variable on day n, as estimated at the end

of day n-1. n2 as the variance rate.

Define Si as the value of the market variable at the end of day i.

Define ui as the continuously compounded return during day i (between the end

of day i-1 and the end of day i)

Si

ui ln

Si 1

1 m

u un i

m i 1

m

1

2

n2

(

u

u

)

n i

m 1 i 1

2-21

Estimating Volatility

For the purpose of monitoring daily volatility, we give the following

changes:

is assumed to be zero.

m-1 is replaced by m.

m

1

n2 u n2i

m i 1

3-21

Estimating Volatility

Weighting Schemes

The above formula gives equal weight to un1 , un2 ,......, unm . Our objective

is to estimate the current level of volatility, so we give more weight to recent

data.

m

iu

2

n

i 1

i 1

4-21

(i j where i j )

ni

Estimating Volatilities

ARCH Model

m

VL i u

2

n

i 1

( i 1)

2

ni

i 1

Defining

m

iu 2

2

n

5-21

i 1

ni

Estimating Volatilities

EWMA Model

the ai decline exponentially as we move back through time.

2

2n 2n-1 (1 )u n-1

The estimate, n , of the volatility for day n (made at the end of day n-1) is

calculated from n 1 ( the estimate that was made at the end of day n-2 of the

volatility for day n-1) and u n 1 (the most recent daily percentage change).

High values of will minimize the effect of daily percentage returns, whereas

low values of will tend to increase the effect of daily percentage returns on

the current volatility estimate.

6-21

7-21

8-21

Estimating Volatilities

GARCH(1, 1) Model

as from n1 and un 1 . The equation for GARCH(1, 1) is:

n2 VL un21 n21

The (1,1) in GARCH(1, 1) indicates that n2 is based on the most recent observation

of

n2 un21 n21

9-21

Estimating Volatilities

GARCH(1, 1) Model

n2 VL un21 n21

shocks to the variance revert to

it is less than one), the longer it will

take to revert to the mean following a

shock or large movement.

10-21

Estimating Volatilities

Mean Reversion

Expected path for the variance rate

Variance rate

Variance rate

VL

VL

Time

Graph a

Time

Graph b

(b) current variance rate is below long-term variance rate

11-21

12-21

13-21

14-21

Estimating Correlations

Estimating Correlations

XY

cov n

x ,n y ,n

15-21

201311

cov n cov n 1 (1 ) xn 1 yn 1

=0.9 0.000225+(1-0.9) 0.25% 1.5%

Answer: C

=2.025%%+0.0375%%=2.06265%%

XY

16-21

cov n

x ,n y ,n

2.06265%%

0.66

1.25% 2.5%

201405

Answer: A

1

1

23 0.9703

2

2

Weight for five days old= 4 (1 ) 0.97034 (1 0.9703) 0.026

17-21

201405

n2 n21 (1 )un21

Answer: C

0.9572 0.96

18-21

201405

19-21

201405

Answer: B

20-21

FRM

21-21

- 9129-34511-1-PB (2)Uploaded bychuquy550
- Moon 2010Uploaded byMuhammad Arif
- 1.3_Risk+Taking+A+Corporate+Governance+Perspective+风险承担%3A公司治理的角度+%282015考纲本节删除，选修%29Uploaded byJames Jiang
- First Few PagesUploaded byrdvasu
- PrevisÃ£o _ Garch 01Uploaded byrrrr
- 2.1_Probabilities+概率Uploaded byJames Jiang
- 2.13_Modeling+Cycles%3A+MA%2C+AR%2C+and+ARMA+Models+建模周期：MA%2C+AR%2C+和ARMA+模型Uploaded byJames Jiang
- 2006 JefUploaded byPalwasha Malik
- 1.4_Risk+Management%3A+A+Helicopter+View+风险管理：从一个宏观、全局的角度看Uploaded byJames Jiang
- IJEBEA14-114Uploaded byInternational Association of Scientific Innovations and Research (IASIR)
- 1.6_Corporate+Governance+and+Risk+Management+公司治理与风险管理Uploaded byJames Jiang
- Measuring Volatility in GDPUploaded byGodfred Abledu
- 1.5_Corporate+Risk+Management%3A+A+Primer+公司风险管理：入门知识Uploaded byJames Jiang
- 3_VRM 2_SSEIUploaded bypare121
- 1.9_Financial+Disasters+金融灾难Uploaded byJames Jiang
- 2 - 331statistics05b - Quickie Statistics SummaryUploaded byalkimia
- FRM 2017 Part I - QuicksheetUploaded bySaurabh Pramanick
- abm2_econometricaUploaded byFrederico Sande Viana
- Which of the following are measures of central tendency_ Select all that apply A++Uploaded byteacher.theacestud
- Measuring Market Risk Philippe JorionUploaded byPacoPicasso
- VolatilityUploaded byOmer Landau
- Sabra LlUploaded bycoolacl
- 98年度論文成果電子檔_98-200Uploaded byIlyaOstrov
- Durrleman_FromImpliedToSpotVolatilitiesUploaded byginovainmona
- brainwave marketing project -IBMUploaded byAakash Kumar
- US Federal Reserve: 199947papUploaded byThe Fed
- NGDM07 Talk GentleUploaded byapi-3798592
- 9709Uploaded byPablo F
- chap07Uploaded byjulianli0220
- Girls Tbu 25tUploaded byapi-3709364

- 2.6_Linear+Regression+with+One+Regressor+一元线性回归Uploaded byJames Jiang
- 2.11_Modeling+and+Forecasting+Trend+建模并预测趋势Uploaded byJames Jiang
- 2.3_Distributions+分布Uploaded byJames Jiang
- 2.8_Linear+Regression+with+Multiple+Regressors+多元线性回归Uploaded byJames Jiang
- 2.1_Probabilities+概率Uploaded byJames Jiang
- 2.13_Modeling+Cycles%3A+MA%2C+AR%2C+and+ARMA+Models+建模周期：MA%2C+AR%2C+和ARMA+模型Uploaded byJames Jiang
- 2.4_Bayesian+Analysis+贝叶斯分析.pdfUploaded byJames Jiang
- 2.10_Correlations+and+Copulas+相关性和连接函数Uploaded byJames Jiang
- 2.7_Regression+with+a+Single+Regressor+Hypothesis+Tests..一元回归：假设检验与置信区间Uploaded byJames Jiang
- 2.15_Simulation+Modeling+模拟建模Uploaded byJames Jiang
- 2.2_Basic+Statistics+基本统计Uploaded byJames Jiang
- 2.12_Characterizing+Cycles+描述周期性Uploaded byJames Jiang
- 2.5_Hypothesis+Testing+and+Confidence+Intervals+假设检验和置信区间Uploaded byJames Jiang
- 2.9_Hypothesis+Tests+and+Confidence+Intervals...多元回归中的假设检验与置信区间Uploaded byJames Jiang
- 1.9_Financial+Disasters+金融灾难Uploaded byJames Jiang
- Lecture 6Uploaded byHaris Khan
- 1.8_Implementing+Robust+Risk+Appetite+Frameworks...实施稳健的风险偏好架构，强化金融机构的经营Uploaded byJames Jiang
- 1.7_What+is+ERM？+什么是企业风险管理Uploaded byJames Jiang
- 1.4_Risk+Management%3A+A+Helicopter+View+风险管理：从一个宏观、全局的角度看Uploaded byJames Jiang
- 1.4_Risk+Management%3A+A+Helicopter+View+风险管理：从一个宏观、全局的角度看Uploaded byJames Jiang
- 9e Financial Calculator ReferenceUploaded bykhopdi_number1
- 1.6_Corporate+Governance+and+Risk+Management+公司治理与风险管理Uploaded byJames Jiang
- 7EUploaded byJames Jiang
- TIBAIIPlus.pdfUploaded byJames Jiang
- 1.5_Corporate+Risk+Management%3A+A+Primer+公司风险管理：入门知识Uploaded byJames Jiang
- 1.2_The+Time+Value+of+Money+and+Financial+Calculator..货币时间价值与金融计算器使用+（前导课程）Uploaded byJames Jiang
- 1.2_The+Time+Value+of+Money+and+Financial+Calculator..货币时间价值与金融计算器使用+（前导课程）Uploaded byJames Jiang

- Kharkov-Application of Monte Carlo Simulation for the Evaluation of Measurement UncertaintyUploaded byzilangamba_s4535
- Mth514NotesCh4,5,6,10Uploaded byt_man222
- 311 Session 5 2 ProbabilityUploaded bykrakendegen
- Course4_0501Uploaded byAndrew Good
- OpenQuake Engine Risk Paper PublishedUploaded byrashidking
- MIT15 075JF11 Exam01 SolnUploaded bymihai37
- mathematical statsUploaded bybanjo111
- MLC Preparation NotesUploaded bySasha Woodroffe
- stach8Uploaded bySunil Vatas
- Discrete Probability Distributions LectureUploaded bySamuel Bradley
- Stat 321 Sept 12Uploaded byConnor
- Encyclopedia of Financial Models TOCUploaded byAman Machra
- FormulasUploaded byranjeetk_98
- Lindsey 1997 Applying Generalized Linear Models.pdfUploaded byCarlos Andrade
- Ch04.ProbabilityUploaded bysoumya_mitra_10
- randomprocJuly14.pdfUploaded byfembem
- Fall 2009 Final SolutionUploaded byAndrew Zeller
- DA1Uploaded bySPAM rohit
- 03HWsolUploaded byAngelique Joya
- Process Capability( Asi Rev5)Uploaded byPraphan Prap
- L3_SlidesUploaded bySankar
- Probability Concepts and ApplicationsUploaded byOrlando
- Wham DerivationUploaded byWilliam Agudelo
- Assignment 1Uploaded byIrfan Msw
- 확률과통계Uploaded by권준택
- prob1Uploaded byMiguel Nuñez
- 19501Uploaded byTyas Agustina
- WRR_16Uploaded byMargaret Rodriquez
- Hasil Uji ValidUploaded byHildayanti ILyas
- Beberapa takrif statistikaUploaded byHamim Sudarsono