Lecture Notes for 22S 166 - Computing in Statistics with Cowles at Iowa (UI)

Notes Information

Material Type:Class Note
Class:22S 166 - Computing in Statistics
Subject:Statistics and Actuarial Science
University:University of Iowa
Term:Fall 2007
  • To
  • at (time)
  • Observation
  • Unfortunately
  • Immediately
  • Observations
  • Explanation
  • Stock Return
  • Possible Set
  • Time Intervals
  • Implementation
Login / Sign Up to View Document
Preview Page 1Preview Page 2Preview Page 3Preview Page 4Preview Page 5Preview Page 6

Sample Document Text

Nonparametric Volatility Estimation: A realized variance implementation in R and VBA 22S:166 Fall 2007 - Term Project David Schreindorfer Joe Bawazer Abstract This work can be considered a non-technical introductory to realized variance. After an overview of the role of volatility in finance, we explain how realized variance (RV) gained in popularity through its use in the evaluation of GARCH models. The paper then proceeds to a brief introduction to the theoretical results in stochastic processes underlying the quantity of interest. Lastly, we implement a simple RV calculation in R as well as in VBA, for which, to our best knowledge, no packages are available thus far. 1 Introduction This paper was written as part of the requirements of a class in Statistical Computing and we therefore consider the target audience to consist mainly of statisticians. Because the importance of the realized variance (RV) statistic is based on its applications in finance, however, we start with a relatively detai...

Related Documents

Broad Generalizations Notes
Branching Questions Notes
Environmental Justice Notes
Issue Network Exam
Underpayment Inequity Notes
Underpayment Inequity Notes
Following Costs Exam
Either...or Notes
Escape Conditioning Notes
Inventoriable Costs Notes
Measurement Notes
Actual Costing Notes
Autoeroticism Notes
Presentation Methods Notes
Continuous Scheduling Notes
Industrial Engineering Exam
155, "/var/app/current/tmp/"