Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) 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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Bibliographic Details
Main Author: Granja, Diogo Lemos Martins (author)
Format: masterThesis
Language:eng
Published: 2021
Subjects:
Volatility
Garch
Ewma
Heston-nandi
Heston
Volatility surface
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10362/122848
Country:Portugal
Oai:oai:run.unl.pt:10362/122848

Internet

http://hdl.handle.net/10362/122848

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