Measurement Method And Model Of Financial Volatility With Application

This thesis has carried out a research on measuring method and application of the financial volatility. At first, the concept and the characteristics of the volatility as well as its development status and the function in the modern financial theory are presented in this thesis. Then, various measurement methods, such as moving average method, ARCH model, stochastic volatility model and implied volatility method are mainly presented. The asymmetrical Laplace distribution-based skewed EWMA and robust EWMA models are dealt with. ARCH and SV models as well as their extended forms are comprehensively elaborated, and their parameter estimation methods are introduced in this thesis.In the empirical analysis, Shenzhen and Shanghai stock market volatility are mesuered by ARCH models and a comparison between SV and GARCH models is made. In addition, weekly volatility in Shenzhen stock market is forcasted by different measurement models, such as SV model and GARCH(1,1) model etc. The results suggest that EGARCH model is the best model for measuring daily stock market volatily and SV model provides superior forcast of weekly volatility. Finally, conclusion is made with some shortage and further work mentioned.