期权期货及其衍生品第弹.pptxVIP

会计学;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;Example (Example 22.2, page 502);Example continued;GARCH (p,q);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);Forecasting Future Volatility continued (equation 21.14, page 481);SP Example;Volatility Term Structures (Table 22.4);Results for SP 500;Correlations and Covariances (515);Updating Correlations;Positive Finite Definite Condition ;Example;Volatilities and Correlations for Four-Index on Sept 25, 2008 with Equal Weights;Volatilities and Correlations for Four-Index on Sept 25, 2008 for EWMA and l=0.94;One-Day 99% VaR Estimates