ebooks logo journals logo reference works logo abstract databases logo
bullet  SIGN IN Register | Why Register? | Got a Voucher? alerts   marked lists   shopping cart 

informaworld

HOME   |   SEARCH   |   BROWSE
    Issues List       Latest Issue       Forthcoming Articles       Volume 4 Issue 4       Subscribe       Article       References       Related articles      
<< firstfirst   < prevprev   Table of contentstoc   next >next   last >>last
Publisher Logo Publication Cover
Search within this journal

Non-parametric estimation of historical volatility 

Authors: John A. Randal a;  Peter J. Thomson b; Martin T. Lally a
Affiliations:   a Victoria University of Wellington, Wellington, New Zealand
b Statistics Research Associates Ltd, Victoria University of Wellington, Wellington, New Zealand
DOI: 10.1080/14697680400008692
Publication Frequency: 8 issues per year
Published in: journal Quantitative Finance, Volume 4, Issue 4 August 2004 , pages 427 - 440
Number of References: 36
Formats available: HTML (English) : PDF (English)
Article Requests: Order Reprints : Request Permissions


Abstract

Evolving volatility is a dominant feature observed in most financial time series and a key parameter used in option pricing and many other financial risk analyses. A number of methods for non-parametric scale estimation are reviewed and assessed with regard to the stylized features of financial time series. A new non-parametric procedure for estimating historical volatility is proposed based on local maximum likelihood estimation for the t-distribution. The performance of this procedure is assessed using simulated and real price data and is found to be the best among estimators we consider. We propose that it replaces the moving variance historical volatility estimator.
view references (36)
Bookmark with:
  • CiteULike
  • Del.icio.us
  • BibSonomy
  • Connotea
  • More bookmarks
Privacy Policy | Terms & Conditions | Accessibility | RSS
FAQs in: English . Français . Español . 中文(简体和繁體)
© 2009 Informa plc