Bayesian Model Averaging For Realized Volatility Models
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Bayesian Model Averaging for Realized Volatility Models
Author | : Robert W. Jones |
Publisher | : |
Total Pages | : 56 |
Release | : 2018 |
Genre | : Finance |
ISBN | : 9780438392175 |
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This research explores statistical methods for forecasting realized volatility for stock market holdings; primarily Stochastic Dierential Equations for the development of various volatility measures and Bayesian Model Averaging for the development and optimization of a linear model capable of predicting said volatility. These methods will be outlined and explained before being applied to high frequency trade data.
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