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Times Series Analysis of Calibrated Parameters of Two-factor Stochastic Volatility Model
Mälardalen University, School of Education, Culture and Communication.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Stochastic volatility models have become essential for financial modelling and forecasting.

The present thesis works with a two-factor stochastic volatility model that is reduced to four

parameters. We start by making the case for the model that best fits data, use that model

to produce said parameters and then analyse the time series of these parameters. Suitable

ARIMA models were then used to forecast the parameters and in turn, the implied volatilities.

It was established that fitting the model for different groups of maturities produced better

results. Moreover, we managed to reduce the forecasting errors by forecasting according to

the different maturity groups.

Place, publisher, year, edition, pages
2019. , p. 57
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-44644OAI: oai:DiVA.org:mdh-44644DiVA, id: diva2:1331442
Subject / course
Mathematics/Applied Mathematics
Supervisors
Examiners
Available from: 2019-06-28 Created: 2019-06-26 Last updated: 2019-06-28Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf