Dynamic interaction between historical and implied volatility in the Indian option market
T. Viswanathan, R. Sriram and Prathana Mukherjee
| Year of publication: |
2021
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|---|---|
| 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
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| Subject: | historical volatility | implied volatility | volatility forecast | ARIMA | generalised autoregressive conditional heteroscedasticity | GARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index | Schätztheorie | Estimation theory | Indien | India | Optionsgeschäft | Option trading | ARMA-Modell | ARMA model | Börsenkurs | Share price |
Online Resource