Bayesian Model Averaging For Realized Volatility Models

Download or read book Bayesian Model Averaging for Realized Volatility Models written by Robert W. Jones and published by . This book was released on 2018 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research explores statistical methods for forecasting realized volatility for stock market holdings; primarily Stochastic Dierential Equations for the development of various volatility measures and Bayesian Model Averaging for the development and optimization of a linear model capable of predicting said volatility. These methods will be outlined and explained before being applied to high frequency trade data.