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

Notes Information

Material Type:Class Note
Professor:Cowles
Class:22S 166 - Computing in Statistics
Subject:Statistics and Actuarial Science
University:University of Iowa
Term:Fall 2007
Keywords:
  • To
  • at (time)
  • Observation
  • Unfortunately
  • Immediately
  • Observations
  • Explanation
  • Stock Return
  • Possible Set
  • Time Intervals
  • Implementation
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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...

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