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Non-parametric volatility measurements and volatility forecasting models
Assignment (MComm)--Stellenbosch University, 2005.
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| Other Authors: | |
| Format: | Thesis |
| Language: | en_ZA |
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Stellenbosch : Stellenbosch University
2012
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| _version_ | 1867613813535145984 |
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| access_status_str | Open Access |
| author | Du Toit, Cornel |
| author2 | Conradie, W. J. |
| author_browse | Conradie, W. J. Du Toit, Cornel |
| author_facet | Conradie, W. J. Du Toit, Cornel |
| author_sort | Du Toit, Cornel |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | Assignment (MComm)--Stellenbosch University, 2005. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/50401 |
| institution | Stellenbosch University (South Africa) |
| language | en_ZA |
| last_indexed | 2026-06-10T12:42:06.574Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2012 |
| publishDateRange | 2012 |
| publishDateSort | 2012 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/50401 Non-parametric volatility measurements and volatility forecasting models Du Toit, Cornel Conradie, W. J. Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science. Rate of return -- Statistical methods Rate of return -- Forecasting -- Statistical methods Foreign exchange rates -- Forecasting -- Stastistical methods Stock price forecasting -- Statistical methods Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Assignment (MComm)--Stellenbosch University, 2005. ENGLISH ABSTRACT: Volatilty was originally seen to be constant and deterministic, but it was later realised that return series are non-stationary. Owing to this non-stationarity nature of returns, there were no reliable ex-post volatility measurements. Subsequently, researchers focussed on ex-ante volatility models. It was only then realised that before good volatility models can be created, reliable ex-post volatility measuremetns need to be defined. In this study we examine non-parametric ex-post volatility measurements in order to obtain approximations of the variances of non-stationary return series. A detailed mathematical derivation and discussion of the already developed volatility measurements, in particular the realised volatility- and DST measurements, are given In theory, the higher the sample frequency of returns is, the more accurate the measurements are. These volatility measurements referred to above, however, all have short-comings in that the realised volatility fails if the sample frequency becomes to high owing to microstructure effects. On the other hand, the DST measurement cannot handle changing instantaneous volatility. In this study we introduce a new volatility measurement, termed microstructure realised volatility, that overcomes these shortcomings. This measurement, as with realised volatility, is based on quadratic variation theory, but the underlying return model is more realistic. AFRIKAANSE OPSOMMING: Volatiliteit is oorspronklik as konstant en deterministies beskou, dit was eers later dat besef is dat opbrengste nie-stasionêr is. Betroubare volatiliteits metings was nie beskikbaar nie weens die nie-stasionêre aard van opbrengste. Daarom het navorsers gefokus op vooruitskattingvolatiliteits modelle. Dit was eers op hierdie stadium dat navorsers besef het dat die definieering van betroubare volatiliteit metings 'n voorvereiste is vir die skepping van goeie vooruitskattings modelle. Nie-parametriese volatiliteit metings word in hierdie studie ondersoek om sodoende benaderings van die variansies van die nie-stasionêre opbrengste reeks te beraam. 'n Gedetaileerde wiskundige afleiding en bespreking van bestaande volatiliteits metings, spesifiek gerealiseerde volatiliteit en DST- metings, word gegee. In teorie salopbrengste wat meer dikwels waargeneem word tot beter akkuraatheid lei. Bogenoemde volatilitieits metings het egter tekortkominge aangesien gerealiseerde volatiliteit faal wanneer dit te hoog raak, weens mikrostruktuur effekte. Aan die ander kant kan die DST meting nie veranderlike oombliklike volatilitiet hanteer nie. Ons stel in hierdie studie 'n nuwe volatilitieits meting bekend, naamlik mikro-struktuur gerealiseerde volatiliteit, wat nie hierdie tekortkominge het nie. Net soos met gerealiseerde volatiliteit sal hierdie meting gebaseer wees op kwadratiese variasie teorie, maar die onderliggende opbrengste model is meer realisties. Masters 2012-08-27T11:33:24Z 2012-08-27T11:33:24Z 2005-03 Thesis http://hdl.handle.net/10019.1/50401 en_ZA Stellenbosch University 101 p. application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Rate of return -- Statistical methods Rate of return -- Forecasting -- Statistical methods Foreign exchange rates -- Forecasting -- Stastistical methods Stock price forecasting -- Statistical methods Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Du Toit, Cornel Non-parametric volatility measurements and volatility forecasting models |
| title | Non-parametric volatility measurements and volatility forecasting models |
| title_full | Non-parametric volatility measurements and volatility forecasting models |
| title_fullStr | Non-parametric volatility measurements and volatility forecasting models |
| title_full_unstemmed | Non-parametric volatility measurements and volatility forecasting models |
| title_short | Non-parametric volatility measurements and volatility forecasting models |
| title_sort | non parametric volatility measurements and volatility forecasting models |
| topic | Rate of return -- Statistical methods Rate of return -- Forecasting -- Statistical methods Foreign exchange rates -- Forecasting -- Stastistical methods Stock price forecasting -- Statistical methods Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science |
| url | http://hdl.handle.net/10019.1/50401 |
| work_keys_str_mv | AT dutoitcornel nonparametricvolatilitymeasurementsandvolatilityforecastingmodels |