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Estimating Volatilities and Correlations

Estimating Volatilities and Correlations. Chapter 17. Standard Approach to Estimating Volatility. Define s n as the volatility per day on day n , as estimated at end of day n - 1 Define S i as the value of market variable at end of day i

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300 views • 29 slides

Estimating Volatilities and Correlations Chapter 21

Estimating Volatilities and Correlations Chapter 21. Intro. The methods here are useful for: VaR calculations and Derivative pricing The methods just recognize that volatility changes over time. Standard Approach to Estimating Volatility.

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266 views • 26 slides

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Long run volatility - PowerPoint PPT Presentation

Estimating Volatilities and Correlations

Estimating Volatilities and Correlations Chapter 21