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Course Unit 3: Models for Calculating Volatility

In: Corporate Risk Management

Author

Listed:
  • Dietmar Ernst

    (Nürtingen-Geislingen University of Applied Science (HfWU))

  • Joachim Häcker

    (Munich University of Applied Sciences)

Abstract

Course unit 3: Models for calculating volatility. You will be made familiar with and understand various methods of calculating moving volatilities and be able to explain them. You will be able to explain the differences and similarities between the EWMA, ARCH and GARCH models and point out their respective advantages and disadvantages. You will perform optimizations for these procedures.

Suggested Citation

  • Dietmar Ernst & Joachim Häcker, 2024. "Course Unit 3: Models for Calculating Volatility," Springer Texts in Business and Economics, in: Corporate Risk Management, pages 37-71, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-53126-2_4
    DOI: 10.1007/978-3-031-53126-2_4
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