There are various methods to measure stochastic volatility: from the basic model to GARCH. Which books/resources that give a good applied overview would you recommend?
Practically I am looking for resources that measure not only volatilty but the assumptions required to use particular models.
BOOKS: I attached here 2 books on time series which might provide good basis for times series analysis.
DATA SET: Attached is an Excel data set from the IMF. The macro-economic data series may serve as a good source for practice.
SOFTWARE: See the links below for free download of statistical software.
I hope this is helpful. Cheers.
http://www.wessa.net/tsa.wasp
http://www.statsci.org/free.html
Hi, maybe you should look at the following books:
The Econometrics of Financial Markets (Campbell),
Analysis of Financial Time Series (Tsay),
Handbook of Volatility Models and Their Applications (Bauwens),
Forecasting Volatility in the Financial Markets (Knight).
Best regards, Dejan
It seems that there is some confusion in this question when you are saying : "There are various methods to measure stochastic volatility: from the basic model to GARCH". GARCH models and Stochastic Volatility models are two different approaches.
However, one of the book suggested by Dragan is the best one: Handbook of Volatility Models and Their Applications (Bauwens), particularly its Chapters 6, 7 & 8.
Regards
In a GARCH type model, current volatility is a deterministic function of past returns and past volatilities. In a stochastic volatility (SV) model, current volatility has at least one more extra source of uncertainty, i.e. only the expected value of current volatility is determined by past returns and past volatilities. If you are interested in SV models and their relationship with GARCH models etc, the following book is also good:
Inside Volatility Arbitrage: The Secrets of Skewness by A. Javaheri.
Given any number of samples of a stochastic process, how does one detect if it has 'stochastic volatility'? Serious question. I know how to detect if it is Brownian motion. I know how to detect if is Brownian motion with deterministic volatility. Do all other processes have 'stochastic volatility'?
SVETLOZAR T. RACHEV, STOYAN V. STOYANOV, FRANK J. FABOZZI: Advanced
Stochastic Models, Risk Assessment, and Portfolio Optimization, 2008
Hi,
You may be interested by this paper:
Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
Journal of Empirical finance, March 2017, Pages 53-75
Yang Zu, H. Peter Boswijk
Best regards
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