Empirical Studies on Volatility in International Stock Markets
describes the existing techniques for the measurement and
estimation of volatility in international stock markets with
emphasis on the SV model and its empirical application. Eugenie Hol
develops various extensions of the SV model, which allow for
additional variables in both the mean and the variance equation. In
addition, the forecasting performance of SV models is compared not
only to that of the well-established GARCH model but also to
implied volatility and so-called realised volatility models which
are based on intraday volatility measures. The intended readers are
financial professionals who seek to obtain more accurate volatility
forecasts and wish to gain insight about state-of-the-art
volatility modelling techniques and their empirical value, and
academic researchers and students who are interested in financial
market volatility and want to obtain an updated overview of the
various methods available in this area.
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