Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -

Detalhes bibliográficos
Autor(a) principal: Granja, Diogo Lemos Martins
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/122848
Resumo: This project aims to analyze which volatility estimation model can better forecast volatility for Banco Invest. The compared models are the GARCH (1, 1), Exponentially Weighted Moving Average, Heston-Nandi GARCH, and two variations of the Heston stochastic volatility model. The model recommended for Banco Invest is the Heston, as it is the one that presents the closest results to the realized volatility and demonstrates the most stable estimates. Alternatively, if it is not Banco Invest’s intention to use the implied volatility as an in putw hen forecasting volatilities, the Heston-Nandi GARCH model should be taken in to consideration.
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spelling Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -VolatilityGarchEwmaHeston-nandiHestonVolatility surfaceDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis project aims to analyze which volatility estimation model can better forecast volatility for Banco Invest. The compared models are the GARCH (1, 1), Exponentially Weighted Moving Average, Heston-Nandi GARCH, and two variations of the Heston stochastic volatility model. The model recommended for Banco Invest is the Heston, as it is the one that presents the closest results to the realized volatility and demonstrates the most stable estimates. Alternatively, if it is not Banco Invest’s intention to use the implied volatility as an in putw hen forecasting volatilities, the Heston-Nandi GARCH model should be taken in to consideration.Pereira, João PedroRUNGranja, Diogo Lemos Martins2021-08-21T15:54:08Z2021-01-212021-01-042021-01-21T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/122848TID:202741494enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:04:20Zoai:run.unl.pt:10362/122848Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:44:52.240742Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -
title Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -
spellingShingle Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -
Granja, Diogo Lemos Martins
Volatility
Garch
Ewma
Heston-nandi
Heston
Volatility surface
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -
title_full Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -
title_fullStr Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -
title_full_unstemmed Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -
title_sort Banco invest field lab on option volatility models - a detailed analysis of garch (P, Q) models -
author Granja, Diogo Lemos Martins
author_facet Granja, Diogo Lemos Martins
author_role author
dc.contributor.none.fl_str_mv Pereira, João Pedro
RUN
dc.contributor.author.fl_str_mv Granja, Diogo Lemos Martins
dc.subject.por.fl_str_mv Volatility
Garch
Ewma
Heston-nandi
Heston
Volatility surface
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Volatility
Garch
Ewma
Heston-nandi
Heston
Volatility surface
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This project aims to analyze which volatility estimation model can better forecast volatility for Banco Invest. The compared models are the GARCH (1, 1), Exponentially Weighted Moving Average, Heston-Nandi GARCH, and two variations of the Heston stochastic volatility model. The model recommended for Banco Invest is the Heston, as it is the one that presents the closest results to the realized volatility and demonstrates the most stable estimates. Alternatively, if it is not Banco Invest’s intention to use the implied volatility as an in putw hen forecasting volatilities, the Heston-Nandi GARCH model should be taken in to consideration.
publishDate 2021
dc.date.none.fl_str_mv 2021-08-21T15:54:08Z
2021-01-21
2021-01-04
2021-01-21T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/122848
TID:202741494
url http://hdl.handle.net/10362/122848
identifier_str_mv TID:202741494
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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