Modeling and forecasting financial-market volatility


Project status in progress
Project time since 01.01.2020
Keywords Econometrics, time series analysis; stochastic volatility; conditional heteroscedasticity

In all types of financial markets (stocks, currencies, commodities, energy), volatility is a key variable (i) for the valuation of contingent claims, and (ii) for measuring the effectiveness and credibility of policy shifts anticipated by market participants (e.g. announced regulatory interventions). In this project, we (i) design new (probabilistic) volatility models for (univariate and high-dimensional) financial-market time series, (ii) establish the associated estimation frameworks and forecasting tools, and (iii) apply our procedures to real-world financial data.