Volatility modeling

Abstract

• So far we have maintained the assumption of iid data in the estimation of distributions and risk measures. However, this assumption does not hold for financial data, which are known to be intertemporally dependent, especially in the volatility. Estimation of risk measures under the assumption of iid can be viewed as unconditional estimates. In contrast, we can model the intertemporal dependence explicitly and calculate conditional risk measures based on prior information.

Cite this paper

@inproceedings{Wu2015VolatilityM, title={Volatility modeling}, author={Ximing Wu}, year={2015} }