Temat: volatility - Prolib Integro

Skocz do pozycji: 1.

Tytuł:: HISTORICAL AND IMPLIED VOLATILITIES: A REVIEW OF METHODOLOGY
Autorzy:: Krawiec, Monika
Tematy:: historical volatility
Black-Scholes implied volatility
model-free implied volatility; Pokaż więcej
Wydawca:: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Powiązania:: https://bibliotekanauki.pl/articles/453267.pdf Link otwiera się w nowym oknie
Opis:: Volatility is a subject of numerous studies. Many of them focus on predictive power of different sources of volatility. Most often, the Black-Scholes implied volatility is believed to outperform historical volatility, although some research demonstrates that implied volatility is a biased forecast of future volatility. Taken into account different opinions, the paper aims at presenting alternative methods for estimating volatility.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Factors affecting stock return volatility in the banking sector in the euro zone
Autorzy:: Niewińska, Katarzyna
Tematy:: Beta
Historical volatility
Implied volatility
Unemployment; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Powiązania:: https://bibliotekanauki.pl/articles/522300.pdf Link otwiera się w nowym oknie
Opis:: Aim/purpose – The purpose of this paper is to examine the influence of internal and external historical determinants on the volatility of banks’ stock returns in the euro zone. A dedicated database has been created to identify factors significantly affecting volatility. Design/methodology/approach – The study is based on information about banks listed on the stock exchanges of the euro zone economies. Quarterly data from the period of 2004-2015 along with static panel models were used as the research method. Findings – Results confirm that selected factors have a significant impact on the analysed variables: the ratio of long-term investments to assets, solvency ratio, price to book value, the unemployment rate, beta, as well as implied volatilities in S&P500 and EUROSTOXX50 indexes. Research implications/limitations – Results can be used to estimate future stock return volatility more accurately. The survey focuses solely on the banking sector, which is the biggest limitations of this research and the findings cannot be used to other sectors. Originality/value/contribution – Most volatility research serves the purpose of predicting future stock prices. Very few papers explain which factors in particular impact volatility.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options
Autorzy:: Kokoszczyński, Ryszard
Sakowski, Paweł
Ślepaczuk, Robert
Tematy:: Option pricing models
high-frequency data
realized volatility
implied volatility
stochastic volatility
emerging markets; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Powiązania:: https://bibliotekanauki.pl/articles/1357377.pdf Link otwiera się w nowym oknie
Opis:: In this study, we analyse the performance of option pricing models using 5-minutes transactional data for the Japanese Nikkei 225 index options. We compare 6 different option pricing models: the Black (1976) model with different assumptions about the volatility process (realized volatility with and without smoothing, historical volatility and implied volatility), the stochastic volatility model of Heston (1993) and the GARCH(1,1) model. To assess the model performance, we use median absolute percentage error based on differences between theoretical and transactional options prices. We present our results with respect to 5 classes of option moneyness, 5 classes of option time to maturity and 2 option types (calls and puts). The Black model with implied volatility (BIV) comes as the best and the GARCH(1,1) as the worst one. For both call and put options, we observe the clear relation between average pricing errors and option moneyness: high error values for deep OTM options and the best fit for deep ITM options. Pricing errors also depend on time to maturity, although this relationship depend on option moneyness. For low value options (deep OTM and OTM), we obtained lower errors for longer maturities. On the other hand, for high value options (ITM and deep ITM) pricing errors are lower for short times to maturity. We obtained similar average pricing errors for call and put options. Moreover, we do not see any advantage of much complex and time-consuming models. Additionally, we describe liquidity of the Nikkei225 option pricing market and try to compare the results we obtain here with a detailed study for Polish emerging option market (Kokoszczyński et al. 2010b).
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Uśmiech zmienności w modelu Blacka-Scholesa
The Volatility Smile in the Black-Scholes Model
Autorzy:: Więcek, Małgorzata
Opis:: The Volatility Smile is a pattern of implied volatility for a series of options plotted against strike prices. It is a distinctive phenomenon because it is not predicted by the Black-Scholes model. The thesis contains assumptions of the Black-Scholes model, conception of volatility and historical and implied methods of estimating volatility. Then, the idea of volatility smile is introduced. At the end, different shapes of a plot of a volatility smile depending on the type of the underlying asset are depicted and interpreted.
Uśmiech zmienności, będący wykresem obrazującym relację pomiędzy zmiennością implikowaną a ceną wykonania opcji europejskich jest zjawiskiem występującym wbrew założeniom modelu Blacka-Scholesa. W niniejszej pracy został omówiony parametr zmienności instrumentów bazowych oraz metody jego estymacji. Przedstawione zostały podstawowe zagadnienia związane z modelem Blacka-Scholesa, a także pojęcia dotyczące zmienności historycznej i implikowanej. Finalnie omówione zostały przykłady uśmiechu zmienności w zależności od rodzaju instrumentu bazowego.
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

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Skocz do pozycji: 5.

Tytuł:: Efficiency and Convergence of Bisection, Secant, and Newton Raphson Methods in Estimating Implied Volatility
Autorzy:: Mahrudinda, Mahrudinda
Munandar, Devi
Purwani, Sri
Tematy:: Black-Scholes model
Newton Raphson
bisection
secant
volatility
volatility implied; Pokaż więcej
Wydawca:: Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
Powiązania:: https://bibliotekanauki.pl/articles/1193324.pdf Link otwiera się w nowym oknie
Opis:: This study aims to estimate volatility prices based on the black-Scholes model (BSM) function with research data taken during the COVID-19 pandemic. The estimates of the volatility values are obtained by using three numerical methods, namely the bisection, secant, and Newton Raphson methods. The numerical processes that produce some iteration results in the three methods are then analyzed and the best convergence is sought. As a result, Newton Raphson method produces the smallest number of iterations, which stops at the 3rd iteration and gets a volatility value of 0.500451 with an absolute error value of 0.000388. However, the method requires an initial approximation which lies only in two intervals on the axis σ which are close to the true root. Meanwhile, for the other two methods, namely Bisection and Secant, this limitation does not apply, as long as there is an interval that guarantees the existence of roots. In this case, bisection method requires11 iterations to converge with volatility value of 0.500342 and error value of 0.000878. Whereas secant method requires 4 iterations to converge with a volatility value of 0.500449 and error value of 1.68938E-05. This suggests, that in some cases the use of Newton method, should be initialized with the use of bisection or secant method, to ensure successful iteration and accelerate the rate of convergence.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: Realized Volatility Versus GARCH and Stochastic Volatility Models. The Evidence from the WIG20 Index and the EUR/PLN Foreign Exchange Market
Zmienność zrealizowana wobec modeli GARCH i modeli zmienności stochastycznej na polskim rynku kapitałowym
Autorzy:: Będowska-Sójka, Barbara
Kliber, Agata
Tematy:: realizded volatility
SV
GARCH
volatility forecasting
zmienność zrealizowana
prognozowanie zmienności; Pokaż więcej
Wydawca:: Główny Urząd Statystyczny
Powiązania:: https://bibliotekanauki.pl/articles/1828610.pdf Link otwiera się w nowym oknie
Opis:: The aim of the article is to compare the estimates of the volatility obtained from the parametric models: the GARCH and the SV with the estimates based upon the Realized Volatility approach, whereas the estimates from the RV are obtained from the data of different frequencies. The data sample consists of the WIG20 index and the EUR/PLN exchange rate and covers the hectic crisis period. Hence, the presented results can be viewed as an extension of the results of the studies presented up to date.
Celem artykułu jest porównanie oszacowań zmienności uzyskanych z modeli parametrycznych: GARCH i SV z oszacowaniem uzyskanym na podstawie zmienności zrealizowanej szacowanej w oparciu o dane różnej częstotliwości. W badaniu wzięto pod uwagę zwroty z wybranych instrumentów polskiego rynku finansowego: indeks WIG 20 oraz kurs walutowy EUR/PLN. Ujęta w badaniu próba objęła okres kryzysu finansowego, co stanowi istotne uzupełnienie wyników prezentowanych do tej pory w literaturze.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 7.

Tytuł:: The Application of M-Garch Model for Examining the Volatility of Financial Assets
Zastosowanie modeli klasy M-Garch do badania zmienności aktywów finansowych
Autorzy:: Krężołek, Dominik
Tematy:: M-GARCH
volatility; Pokaż więcej
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Powiązania:: https://bibliotekanauki.pl/articles/906299.pdf Link otwiera się w nowym oknie
Opis:: Większość ekonometrycznych modeli rynków finansowych konstruowanych jest w oparciu o wielkie i rozwinięte gospodarki światowe. Podejście takie nie zawsze znajduje zastosowanie w przypadku młodych i wschodzących rynków. Wynika to po pierwsze z dostępności, a po drugie z charakteru danych tworzących finansowe szeregi czasowe (skupiska danych, grube ogony, autokorelacja). Celem pracy jest zastosowanie modelu M-GARCH do analizy poziomu zmienności stóp zwrotu aktywów finansowych w przypadku, gdy badaniu poddane są portfele inwestycyjne (o więcej niż dwóch składnikach). Przedstawione zostaną różne podejścia do analizy warunkowej wariancji (modyfikacje M-GARCH). Wynikiem będzie ocena stosowalności tej klasy modeli.
The majority of econometric financial market models are based on well run and highly developed economies and available financial time series are very wide, numerous, reporting some specific features as clustering of variance and outliers. Thus, the application of classical methods of the stochastic processes analysis can be biased. The purpose of this paper is to present the review of M-GARCH model to examine the volatility of asset returns in financial market. The analysis includes both individual stocks and portfolios. The most popular approaches of multivariate GARCH models estimation are considered. As a result, the applicability assessment of this class of models within emerging markets will be presented.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 8.

Tytuł:: Exchange rate behaviour in ASEAN countries – a sensitivity analysis
Autorzy:: Umoru, David
Igbinovia, Beauty
Aliyu, Mohammed Farid
Tematy:: Exchange rate behavior
FIGARCH-DCC
volatility persistence
RER
long-term memory
volatility; Pokaż więcej
Wydawca:: Uniwersytet WSB Merito we Wrocławiu
Powiązania:: https://bibliotekanauki.pl/articles/57255226.pdf Link otwiera się w nowym oknie
Opis:: Aim: The study examined the behavior of exchange rate in ASEAN countries. This was highly necessitated in order to account for the structural break in the data set occasioned by global financial crisis. Research method: The quantile regression sensitivity analysis was performed on daily series of exchange rate volatility for 8 ASEAN countries having divided our sample into two, before and after the financial crisis eras. Periods of low market volatility (2001–2006 plus 2010–2017) and high market volatility (1990–2000, 2007–2009, plus 2018–2023) correlate to the periods before and after the financial crisis, respectively. Findings: The empirical finding going forward is that since the global financial crisis took effect, exchange rate volatility has not been effectively curtailed by the governments and monetary authorizes of ASEAN countries especially in Thailand, Malaysia, Indonesia and Vietnam respectively. There is therefore the need for a policy fight in favour of stability of the currency exchange rates. Originality: The originality of the research resides with the sensitivity analysis which validates the presence of high persistence in the volatility of the Thai Baht exchange rate throughout the quantiles. This was followed on by the high persistence in the exchange rate of the Malaysian ringgit which began at the 70th quantile in the pre-financial crisis period with a persistence value of 1.0097 as against the 30th quantile in the post-financial crisis estimations with a persistence value of 1.0387. The Indonesian Rupiah and Vietnamese dong took turns as regards volatility persistence. We also found significant ARCH effect which instigated further estimations of the GARCH and FIGARCH models as robustness checks. Contributions: With the GARCH results, the study contributed to establishing persistence of volatility in the exchange rates of all ASEAN countries in our sample, with varying degrees and this could be attributed instabilities in the economies. Explicitly, the significance of the FIGARCH coefficient confirms the persistence of volatility over time with considerable long-term memory effect. This implies that once the exchange rate becomes volatile, such volatility last long, influencing future volatility levels noticeably in all the countries. Exchange rate volatility persistence of the Singapore Dollar was very low. JEL: A20, B34, C50
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 9.

Tytuł:: Agricultural commodities: An integrated approach to assess the volatility spillover and dynamic connectedness
Autorzy:: Mishra, Arunendra
Kumar, R Prasanth
Tematy:: dynamic connectedness
TVPVAR
price volatility
volatility spillover
ag ricultural commodities
network diagrams; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Poznaniu
Powiązania:: https://bibliotekanauki.pl/articles/1891375.pdf Link otwiera się w nowym oknie
Opis:: In this article the dynamic connectedness between the five agricultural commodities is examined by implementing the Diebold and Yılmaz (VAR based) and Time Varying Parameter Vector Autoregressions (TVP-VAR) measures for understanding the time-varying variance-covariance mechanism using daily data for the period of 2005 to 2019. The findings reveal that at an overall level all the commodity prices are less susceptible to significant volatility shocks from other commodities specifically before the introduction of the pan-India electronic trading portal (eNAM). Cotton prices do not show any variation due to spillover from others for the entire study period. The volatility spillover is visible post eNAM period particularly for the commodity stock prices. Whereas at an overall level the total directional connectedness has gone down in the post eNAM era. The network analysis suggests that the commodity stock prices show a stronger association as compared to market prices. Generally commodity prices show volatility connectedness but with respect to their own market which means strong spillover is missing among both the markets.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 10.

Tytuł:: Modelling and Forecasting WIG20 Daily Returns
Autorzy:: Amado, Cristina
Silvennoinen, Annastiina
Teräsvirta, Timo
Tematy:: autoregressive conditional heteroskedasticity
forecasting volatility
modelling volatility
multiplicative time-varying GARCH
smooth transition; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Powiązania:: https://bibliotekanauki.pl/articles/2076424.pdf Link otwiera się w nowym oknie
Opis:: The purpose of this paper is to model daily returns of the WIG20 index. The idea is to consider a model that explicitly takes changes in the amplitude of the clusters of volatility into account. This variation is modelled by a positive-valued deterministic component. A novelty in specification of the model is that the deterministic component is specified before estimating the multiplicative conditional variance component. The resulting model is subjected to misspecification tests and its forecasting performance is compared with that of commonly applied models of conditional heteroskedasticit
Dostawca treści:: Biblioteka Nauki

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