Non-parametric volatility measurements and volatility forecasting models

Non-parametric volatility measurements and volatility forecasting models

Assignment (MComm)--Stellenbosch University, 2005. === ENGLISH ABSTRACT: Volatilty was originally seen to be constant and deterministic, but it was later realised that return series are non-stationary. Owing to this non-stationarity nature of returns, there were no reliable ex-post volatility mea...

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Bibliographic Details
Main Author: Du Toit, Cornel
Other Authors: Conradie, W. J.
Format: Others
Language:en_ZA
Published: Stellenbosch : Stellenbosch University 2012
Subjects:
Rate of return > Statistical methods
Rate of return > Forecasting > Statistical methods
Foreign exchange rates > Forecasting > Stastistical methods
Stock price forecasting > Statistical methods
Dissertations > Statistics and actuarial science
Theses > Statistics and actuarial science
Online Access:http://hdl.handle.net/10019.1/50401

Internet

http://hdl.handle.net/10019.1/50401

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