Results 271 to 280 of about 186,810 (309)

On the Estimation of Security Price Volatilities from Historical Data

The Journal of Business, 1980
This paper examines the problem of estimating capital asset price volatility parameters from the most available forms of public data. While many varieties of such data are possible, we shall consider here only those which are truly universal in their accessibility to investors, namely, data appearing in the financial pages of the newspaper.
Garman, Mark B, Klass, Michael J
openaire   +1 more source

Market Risk and Volatility Weighted Historical Simulation after Basel III

SSRN Electronic Journal, 2017
Regulatory capital requirements for market risk, also known as the Fundamental Review of the Trading Book (FRTB), were disclosed by the Basel Committee on January 2016. This major overhaul of the Basel 2.5 framework challenges risk model specification and backtesting.
Laurent, Jean-Paul, Firouzi, Hassan Omidi   +1 more
openaire   +1 more source

International growth and volatility in historical perspective

Applied Economics Letters, 2005
This paper studies the relationship between the volatility and growth of real GDP using a newly constructed panel data set from twelve countries over the 1870 to 1929 period. In addition, many other variables are examined that are related to economic growth.
openaire   +1 more source

Assessing the intraday relationship between implied and historical volatility

Journal of Futures Markets, 1994
Historical volatility of the price of an asset or security is typically computed as the standard deviation of daily returns over some recent period (for example, the past 20-60 days). An option's price, however, reflects expected volatility yet to he realized, over the life of the option.
Ira G. Kawaller, Paul D. Koch, John E. Peterson   +2 more
openaire   +1 more source

Estimating Historical Volatility

SSRN Electronic Journal, 2023
Michael W. Brandt, J Kinlay
openaire   +1 more source

Hedging Effectiveness of Implied Volatility vs Historical Volatility

Advances in Economics, Management and Political Sciences
This article investigates hedging efficiency of implied volatility (IV) and historical volatility (HV) for European call options on S&P500 (SPY) using BlackScholesMerton pricing model. We implement a five days hedging frequency with IV using option prices and HV using 30 days rolling return window. The hedging performances of implied volatility and
openaire   +1 more source

SPY Option Hedging: Comparing Implied Volatility and Historical Volatility

Advances in Economics, Management and Political Sciences
This study empirically compares the effectiveness of implied volatility (IV) and historical volatility (HV) as inputs for delta-hedging SPY options under the Black-Scholes-Merton framework. Through a structured daily rebalancing strategy and high-frequency empirical data, the analysis reveals that HV consistently outperforms IV in hedging precision ...
openaire   +1 more source

Robust estimation of historical volatility by a gough transform

East African Journal of Statistics, 2008
No Abstract> East African Journal of Statistics Vol. 1 (3) 2007: pp.
Onyango, SN, Ingleby, M
openaire   +2 more sources

HISTORICAL VOLATILITY DISTRIBUTION IN GAUSSIAN AND GARCH(1,1) MODELS

International Journal of Theoretical and Applied Finance, 2000
On experimental data the historical volatility is usually calculated by averaging the local variance (or its generalizations) over a finite time window. Already in the case of a constant volatility in the Gaussian model the resulting historical volatility is non-Gaussian distributed.
openaire   +1 more source

Historical Overview of Solid-State Non-Volatile Memories

2017
I can say that my career can be superimposed, for a long time, on the story of non-volatile memories.
openaire   +1 more source