. The result proves that the employed volatility model and its derivatives are fairly accurate in predicting fluctuation of … change that just won Nobel prize in 2004). In this research, we try to develop the best prediction model by using volatility … model, such as ARCH, GARCH, TARCH and EGARCH, and employing listed stocks of government-owned companies (GOCs) as the sample …

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and …

volatility model, stochastic volatility model and GARCH, are evaluated by the superior prediction ability (SPA) test. The …

Although quasi-analytic formulas can be derived for European-style financial claims in Heston's stochastic volatility … model, the inverse Fourier integration involved makes the calculation somewhat complicated. This challenge has puzzled …