Banco invest field lab on option volatility models - analysis and implementation of heston 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...

Full description

Bibliographic Details
Main Author: Tavares, Tomás Almeida e Silva (author)
Format: masterThesis
Language:eng
Published: 2022
Subjects:
Volatility
Garch
Ewma
Heston-nandi
Heston
Volatility surface
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10362/143103
Country:Portugal
Oai:oai:run.unl.pt:10362/143103

Internet

http://hdl.handle.net/10362/143103

Similar Items