Banco invest field lab on option volatility models

This project aims to analyze which volatility estimation model can better forecast volatility for Banco Invest. The compared models are the GARCH (1, 1), Exponentially Weighted Moving Average, Heston-Nandi GARCH, and two variations of the Heston stochastic volatility model. The model recommended for...

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Detalhes bibliográficos
Autor principal: Aleksidze, David (author)
Formato: masterThesis
Idioma:eng
Publicado em: 2022
Assuntos:
Volatility
Garch
Ewma
Heston-nandi
Heston
Volatility surface
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Texto completo:http://hdl.handle.net/10362/133431
País:Portugal
Oai:oai:run.unl.pt:10362/133431

Texto Completo

http://hdl.handle.net/10362/133431

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