Volatility [electronic resource] / George A. Christodoulakis.
Material type:
FilmSeries: Henry Stewart talksBusiness & management collection. Quantitative financial risk management: Publisher: London : Henry Stewart Talks, 2007Description: 1 online resource (1 streaming video file (44 min.) : color, sound)Subject(s): Financial risk managementOnline resources: Click here to access online | Series Animated audio-visual presentations with synchronized narration.
Title from title frames.
Contents: Volatility is the most heavily used measure of risk in financial decision making. This presentation commences with a discussion on the validity of various measures of risk, and a statement of conditions under which volatility is a good measure. It begins with an explanation of the empirical properties of data and their dynamics and why models need to capture these characteristics. This is followed by a detailed analysis of various approaches of volatility estimation with particular emphasis on dynamic models in both univariate and multivariate contexts. Then techniques for volatility model validation are given together with an explanation of a number of possible pitfalls. Finally, the presentation focuses on out-of-sample volatility forecasting using dynamic models and various methods for volatility forecast evaluation.
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Mode of access: World Wide Web.