HullRMFI2ndEdCh09金融风险管理.pptVIP

Variance Targeting One way of implementing GARCH(1,1) that increases stability is by using variance targeting We set the long-run average volatility equal to the sample variance Only two other parameters then have to be estimated Risk Management and Financial Institutions 2e, Chapter 9, Copyright ? John C. Hull 2009 * Definition of Volatility Suppose that Si is the value of a variable on day i. The volatility per day is the standard deviation of ln(Si /Si-1) Normally days when markets are closed are ignored in volatility calculations (see Business Snapshot 9.1, page 177) The volatility per y