Multivariate-Volatility-Models课件.pptxVIP

Multivariate Volatility ModelsScott NelsonJuly 29, 2008精品文档Outline of Presentation精品文档Introduction to Quantitative Finance Time Series ConceptsStationarity, Autocorrelation, Time Series ModelsUnivariate Volatility ModelsStylized facts about return seriesGARCHMultivariate Volatility ModelsMoving averagesEWMADynamic Conditional Correlation (DCC)Motivation from Quant Finance 精品文档Most of the stuff in this talk is motivated by problems from quantitative financeFinancial econometrics is one part of a larger field which goes under various names (quantitative finance, mathematical finance, computational finance, etc)The field applies quantitative models and theories to solve problems in the financial marketsSome questions we can answer better than othersWhat will be the closing price of IBM tomorrow? What is the fair price today of a call option on IBM, expiring in 3 months with a strike price of $57?Motivation From Finance精品文档Other examples (Alexander, 2000)What is the volatility forecast for asset XYZ? Need this to price options written on the asset (option pricing)How can we optimally structure our positions to minimize our risk? (portfolio optimization)What is the overall risk exposure of our firm, so we can set aside adequate capital reserves? (value at risk)All of these questions depend on modeling and forecasting of volatility and correlations of asset pricesEfficient Market Hypothesis精品文档Standard economic theory states that stock price movements are unpredictableEfficient market hypothesis: prices completely reflect all available informationIf the future price of the stock is expected to increase, the current stock price will fully adjust to account for thisSince future news is unpredictable (by definition), future price movements are also unpredictable (follow a random walk)According to the weakest form of this theory, it is impossible to make consistent above-average returns by studying only the historical priceThe Statistical Approach to QFWe observe a sequence