EstimatingVolatilitiesandCorrelations幻灯片.pptVIP

Chapter 22Estimating Volatilities and Correlations;Standard Approach to Estimating Volatility (page 498);Simplifications Usually Made in Risk Management (page 499);Weighting Scheme;ARCH(m) Model (page 500);EWMA Model ;To Show that Weights Decline Exponentially;Attractions of EWMA;GARCH (1,1) page 502;GARCH (1,1) continued;Maximum Likelihood Methods;Example 1;Example 2;Application to GARCH;SP 500 Excel Application;SP 500 Excel Application (Table 22.1);The Results (Figure 22.2, page 507) ;Variance Targeting;How Good is the Model?;Forecasting Future Volatility (equation 22.13, page 480);Foreca