E.M.J.H.

Hol

Empirical Studies on Volatility in International Stock Markets

Series: Dynamic Modeling and Econometrics in Economics and Finance, Vol. 6
Empirical Studies on Volatility in International Stock Markets describes the existing
techniques for the measurement and estimation of volatility in international stock markets
with emphasis on the SV model and its empirical application. Eugenie Hol develops
various extensions of the SV model, which allow for additional variables in both the
mean and the variance equation. In addition, the forecasting performance of SV models
is compared not only to that of the well-established GARCH model but also to implied
volatility and so-called realised volatility models which are based on intraday volatility
measures.

The intended readers are financial professionals who seek to obtain more accurate
volatility forecasts and wish to gain insight about state-of-the-art volatility modelling
techniques and their empirical value, and academic researchers and students who are
interested in financial market volatility and want to obtain an updated overview of the
various methods available in this area.
2003, XIV, 161 p.

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