A practical guide for forecasting financial market volatility /
Poon, Ser-Huang.
Chichester : John Wiley & Sons,
c2005.
Includes bibliographical references (p. [201]-213) and index.
Volatility definition and estimation -- Volatility forecast evaluation -- Historial volatility models -- Arch -- Linear and nonlinear long memory models -- Stochastic volatility -- Multivariate volatility models -- Black-Scholes -- Option pricing with stochastic volatility -- Option forecasting power -- Volatility forecasting records -- Volatility models in risk management -- VIX and recent changes in VIX -- Where next?
Options (Finance)
Securities
Stock price forecasting