1. Volatility forecasting for risk management
- Author
-
Brooks, Chris and Persand, Gita
- Subjects
Risk management -- Statistics ,Risk management -- Models ,Risk management -- Research ,Forecasting -- Statistics ,Forecasting -- Forecasts and trends ,Forecasting -- Models ,Forecasting -- Research ,Securities industry -- Statistics ,Securities industry -- Models ,Securities industry -- Forecasts and trends ,Securities industry -- Research ,Financial markets -- Statistics ,Financial markets -- Forecasts and trends ,Financial markets -- Models ,Financial markets -- Research ,Risk management ,Securities industry ,Market trend/market analysis ,Business ,Economics ,Government ,Mathematics - Abstract
Predicting and modeling volatility in the stock market is important for representing portfolio risk. This paper examines various statistical models for forecasting the day-to-day volatility of several important financial market time-series in the United Kingdom.
- Published
- 2003