Exploring the optimal Transformation for Volatility
This paper explores the fit of a stochastic volatility model, in which the Box-Cox transformation of the squared volatility follows an autoregressive Gaussian distribution, to the continuously compounded daily returns of the Australian stock index. Estimation was difficult, and over-fitting likely,...
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| Format: | Others |
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Digital WPI
2010
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/472 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1471&context=etd-theses |