Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models

DOI10.1080/14697681003785942zbMath1210.91154arXiv0901.2275OpenAlexW3122162371MaRDI QIDQ2994857

Gilles Zumbach

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.2275

zbMATH Keywords

time series analysisrisk managementvalue at riskquantitative financevolatility modellingheterogeneity analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Consistent variance curve models
• Reconsidering the continuous time limit of the GARCH(1,1) process
• ARCH models as diffusion approximations
• Modelling the persistence of conditional variances
• Heterogeneous volatility cascade in financial markets

This page was built for publication: Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models