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9. ARCH Models: Definitions and Examples
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Stephen J. Taylor
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Chapters in this book
- Frontmatter i
- Contents vii
- Preface xiii
- 1. Introduction 1
-
Part I. Foundations
- 2. Prices and Returns 9
- 3. Stochastic Processes: Definitions and Examples 23
- 4. Stylized Facts for Financial Returns 51
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Part II. Conditional Expected Returns
- 5. The Variance-Ratio Test of the RandomWalk Hypothesis 99
- 6. Further Tests of the RandomWalk Hypothesis 121
- 7. Trading Rules and Market Efficiency 157
-
Part III. Volatility Processes
- 8. An Introduction to Volatility 189
- 9. ARCH Models: Definitions and Examples 197
- 10. ARCH Models: Selection and Likelihood Methods 235
- 11. Stochastic Volatility Models 267
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Part IV. High-Frequency Methods
- 12. High-Frequency Data and Models 305
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Part V. Inferences from Option Prices
- 13. Continuous-Time Stochastic Processes 353
- 14. Option Pricing Formulae 369
- 15. Forecasting Volatility 397
- 16. Density Prediction for Asset Prices 423
- Symbols 467
- References 473
- Author Index 503
- Subject Index 513
Chapters in this book
- Frontmatter i
- Contents vii
- Preface xiii
- 1. Introduction 1
-
Part I. Foundations
- 2. Prices and Returns 9
- 3. Stochastic Processes: Definitions and Examples 23
- 4. Stylized Facts for Financial Returns 51
-
Part II. Conditional Expected Returns
- 5. The Variance-Ratio Test of the RandomWalk Hypothesis 99
- 6. Further Tests of the RandomWalk Hypothesis 121
- 7. Trading Rules and Market Efficiency 157
-
Part III. Volatility Processes
- 8. An Introduction to Volatility 189
- 9. ARCH Models: Definitions and Examples 197
- 10. ARCH Models: Selection and Likelihood Methods 235
- 11. Stochastic Volatility Models 267
-
Part IV. High-Frequency Methods
- 12. High-Frequency Data and Models 305
-
Part V. Inferences from Option Prices
- 13. Continuous-Time Stochastic Processes 353
- 14. Option Pricing Formulae 369
- 15. Forecasting Volatility 397
- 16. Density Prediction for Asset Prices 423
- Symbols 467
- References 473
- Author Index 503
- Subject Index 513