Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Apr 27

Volatility Forecasting and Trading

Posted by abiao at 16:46 | Code » VBA/Excel | Comments(0) | Reads(12327)
Excel spreadsheets of the course Volatility Forecasting and Trading taught by Professor Ser-Huang Poon at Manchester business school, mainly including:

Estimation and Forecasts :
What is Volatility?
Volatility estimation
Data frequency vs. reference period
Realised volatility, quadratic variation and bipower variation
Market microstructure issue
Volatility Forecast and Evaluation
Error statistics
Test for significant difference
Regression based efficiency tests
Volatility Time series models
Historical vol model
Exponential smoothing, EWMA, Regime switching
ARCH
GARCH, IGARCH, EGARCH, GJR-GARCH
Short vs. Long memory models
Stochastic Volatility Models
Extension to Multivriate and Jumps
VaR (Value at risk)
...

more about pdf lectures and excel sample codes are at: http://www.personal.mbs.ac.uk/spoon/VolatilityForecastingAndTrading.htm
http://www.personal.mbs.ac.uk/spoon/DataProgrammes.htm


Tags:
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]