New methods of estimating stochastic volatility and the stock return

Alghalith, Moawia (2010): New methods of estimating stochastic volatility and the stock return.

Abstract

We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.

• Item Type: MPRA Paper
• Language: English
• Keywords: portfolio, investment, stock, stochastic volatility
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G0 - General

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