Dynamic interaction between historical and implied volatility in the Indian option market
Year of publication: |
2021
|
---|---|
Authors: | Viswanathan, T. ; Sriram, R. ; Mukherjee, Prathana |
Published in: |
International journal of public sector performance management : IJPSPM. - Genève [u.a.] : Inderscience Enterprises, ISSN 1741-105X, ZDB-ID 2471977-8. - Vol. 8.2021, 1/2, p. 128-144
|
Subject: | historical volatility | implied volatility | volatility forecast | ARIMA | generalised autoregressive conditional heteroscedasticity | GARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory | Indien | India | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Optionsgeschäft | Option trading |
-
Zhang, Weiwei, (2021)
-
Forecasting volatility of stock indices with ARCH model
Alam, Md. Zahangir, (2013)
-
Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models
Yildirim, Hakan, (2023)
- More ...
-
Kinetic Study of the Microemulsion Polymerizations of Methyl Methacrylate and n-Butylacrylate
Reddy, G.V.Ramana, (1999)
-
Sriram R., (2022)
-
An empirical analysis of money supply, inflation and output : the case of India
Nadig, Asha, (2019)
- More ...