Title
Rangebased Volatility Estimation and Forecasting: Assessing new possibilities in daily volatility forecasting,Used
Delivery time: 8-12 business days (International)
The work presented in this book views volatility modeling from the standpoint of a short term investor or speculator whose investment horizon does not exceed one trading day. A crucial question for such an investor is how large a move is to be expected once a position is open. For this purpose, predictions of different volatility measures provide different levels of usefulness. An above average standard deviation prediction indicates higher volatility, however it is difficult to assess the exact extent of future price movement, as there is no clear connection between standard deviation and ranges (differences between highest and lowest daily prices). A proper prediction of the day's range is, however, helpful as it can be directly translated into profit targets, stop losses, etc., and thus can be used for the management of an open position. Specifically, in this thesis we use an array of different models to predict daily ranges. We investigate the information content of lagged intraday sessions (Asian, European, ...) and analyze the possibility of obtaining realtime updates of daily volatility forecasts with the arrival of new market information.
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We provide a 2-year limited warranty, from the date of purchase for all our products.
If you believe you have received a defective product, or are experiencing any problems with your product, please contact us.
This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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Your payment information is processed securely. We do not store credit card details nor have access to your credit card information.
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