dc.contributor.author | Pagel, I.M. | |
dc.contributor.author | De Jongh, P.J. | |
dc.contributor.author | Venter, J.H. | |
dc.date.accessioned | 2019-05-20T07:49:18Z | |
dc.date.available | 2019-05-20T07:49:18Z | |
dc.date.issued | 2007 | |
dc.identifier.citation | Pagel, I.M. 2007. An introduction to realized volatility. Investment analysts journal, 36(65):47-57. [https://doi.org/10.1080/10293523.2007.11082488] | en_US |
dc.identifier.issn | 1029-3523 | |
dc.identifier.issn | 2077-0227 (Online) | |
dc.identifier.uri | http://hdl.handle.net/10394/32389 | |
dc.identifier.uri | https://www.tandfonline.com/doi/abs/10.1080/10293523.2007.11082488 | |
dc.identifier.uri | https://doi.org/10.1080/10293523.2007.11082488 | |
dc.description.abstract | Financial market volatility is central to the theory and
practice of asset pricing, option pricing, asset
allocation, portfolio selection, portfolio rebalancing and
various risk management applications. Although
financial models often assume volatilities of securities
to be constant, it is widely recognised that they vary
over time. For example, in financial return series, the
occurrence of volatility clustering is a well-known
phenomenon.
This recognition has spurred research into the
distributional and dynamic properties of stock market
volatility. Daily volatility is often measured from the
returns over a historical window of a number (e.g. 30)
of days. This has the disadvantage of always lagging
current volatility. The literature on the estimation of
current volatility has developed rapidly in recent times,
but most of what we have learned from it is based on
the estimation of parametric (G)ARCH or stochastic
volatility models and on the analysis of implied
volatilities from options. However, the validity of such
volatility measures generally depends upon specific
distributional assumptions, and in the case of implied
volatilities, further assumptions concerning the market
price of volatility risk | en_US |
dc.language.iso | en | en_US |
dc.publisher | Taylor & Francis | en_US |
dc.title | An introduction to realized volatility | en_US |
dc.type | Article | en_US |
dc.contributor.researchID | 11749318 - De Jongh, Pieter Juriaan | |
dc.contributor.researchID | 10168907 - Venter, Johannes Hendrik | |