Liu Li, Tang Xiaowo. Stock Index Volatility Estimation and Its Application[J]. Journal of University of Electronic Science and Technology of China, 2000, 29(3): 311-315.
Citation:
Liu Li, Tang Xiaowo. Stock Index Volatility Estimation and Its Application[J]. Journal of University of Electronic Science and Technology of China, 2000, 29(3): 311-315.
Liu Li, Tang Xiaowo. Stock Index Volatility Estimation and Its Application[J]. Journal of University of Electronic Science and Technology of China, 2000, 29(3): 311-315.
Citation:
Liu Li, Tang Xiaowo. Stock Index Volatility Estimation and Its Application[J]. Journal of University of Electronic Science and Technology of China, 2000, 29(3): 311-315.
Stock Index Volatility Estimation and Its Application
In this paper, the concept and the estimation method of index volatility are introduced.The volatility estimation is analyzed with practical data using past prices. The results can be used to estimate the risk of the stock market and the parameters of Black-Scholes option pricing formula. It has significan meaning for portfolio insurance.
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