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Volatilittsprognose mit Faktor-GARCH-Modellen

Volatilittsprognose mit Faktor-GARCH-Modellen

Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783824466252
Condition
New
Product Description

Die Schtzung und Prognose der Volatilitt von Finanzmarkttiteln hat durch die Verbreitung derivativer Finanzinstrumente und der dafr erforderlichen Bewertungsmodelle an Bedeutung gewonnen. Dabei sind die speziellen Zeitreiheneigenschaften der Volatilitten durch dynamische Modelle zu bercksichtigen. Thomas Kaiser beschreibt die Vorzge, die ein neuer multivariater Schtz- und Prognoseansatz, die Faktor-GARCH-Modelle, gegenber den in der Bankpraxis teilweise schon verbreiteten univariaten GARCH-Modellen besitzt. Der Autor vergleicht diese Modellklasse auch anhand tglicher Notierungen der DAX-Werte mit herkmmlichen heuristischen Prognoseanstzen.

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