{"product_id":"volatility-models-von-giovanni-schiesari","title":"Volatility models","description":"\u003cp\u003eThe aim of this work is comparing two different  models for estimating and forecasting the volatility  of financial assets returns, the GARCH and the  Stochastic Volatility (SV) model, applying their  results to a daily Value at Risk model (VAR). The  analysis consists, for each model, in a theoretical  discussion and an empirical analysis carried out on a  dataset containing S\u0026amp;P500 daily prices. The first part of the research is dedicated to the  theoretical comparison and practical estimation of  the two volatility models: for the SV model we  introduce Bayesian analysis, MCMC methods such as the  Gibbs Sampler and Metropolis Hastings algorithm. In the second part of the work we employ the two  models variance predictions to build a daily VAR,  identifying strengths and weaknesses of each  volatility model from a VAR application point of  view.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783844316322\"\u003e\u003ch3\u003ea comparison between GARCH and Stochastic Volatility models with application to risk management\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783844316322","offer_id":39495963639901,"sku":"9783844316322","price":59.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/9c0f1cd5-52ee-4c73-b012-c5e01fba0d8a.jpg?v=1775970301","url":"https:\/\/shop.autorenwelt.de\/en\/products\/volatility-models-von-giovanni-schiesari","provider":"Autorenwelt Shop","version":"1.0","type":"link"}