Empirical Studies on Volatility in International Stock Markets

Abstract

List of Figures. List of Tables. 1: Introduction. 2: Asset Return Volatility Models. 2.1. Empirical Stylised Facts of Stock Index Return Series. 2.2. Time-Varying Volatility Models. 2.3. Empirical Applications of Time Varying Volatility Models. 3: The Stochastic Volatility in Mean Model: Empirical Evidence from International Stock Markets. 3.1. Introduction. 3.2. The Stochastic Volatility in Mean Model. 3.3. Some Theory on the Relationship between Returns and Volatility. 3.4. Data. 3.5. Estimation Results for the SVM Model and Some Diagnostics. 3.6. Some Comparisons with GARCH-M Estimation Results. 3.7. Summary and Conclusions. 4: Forecasting with Volatility Models. 4.1. Volatility Models and Their Forecasts. 4.2. An Empirical Study of Six International Stock Indices. 5: Implied Volatility. 5.1. The Black-Scholes Option Pricing Model. 5.2. Forecasting with Implied Volatility: Empirical Evidence. 6: Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. 6.1. Introduction. 6.2. Model Specifications. 6.3. Data Description and Empirical In-Sample Results. 6.4. Volatility Forecasting Methodology. 6.5. Out-of-Sample Results. 6.6. Summary and Conclusions. 7: Stock Index Volatility Forecasting with High-Frequency Data. 7.1. Introduction. 7.2. Stock Return Data and Volatility. 7.3. Realised Volatility Models. 7.4. Daily Time-Varying Volatility Models. 7.5. Forecasting Methodology and Evaluation Criteria. 7.6. Empirical Results. 7.7. Summary and Conclusions. 8: Conclusions. Appendices: A.1. Model. A.2. Likelihood Evaluation Using Importance Sampling. A.3. Approximating Gaussian Model Used for Importance Sampling. A.4. Monte Carlo Evidence of Estimation Procedure. B: Estimation of the SVX Models. B.1. The SVX Model in State Space Form. B.2. Parameter Estimation by Simulated Maximum Likelihood. B.3. Computational Implementation. C: Data and Programs. Bibliography. Index.