波动率预测模型与比较

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1、上海高级金融学院金融学硕士学位论文论文题目：PriceVolatilityPredictionMethodsandComparison姓名：袁臻学号：1113809027指导教授：陈松男上海高级金融学院制表2013年月日硕士学位论文波动率预测模型与比较PRICEVOLATILITYPREDICTIONMETHODSANDCOMPARISON作者：袁臻导师：陈松男教授上海交通大学上海高级金融学院二〇一三年五月PriceVolatilityPredictionMethodsandComparisonByYuanZhen

2、UndertheSupervisionofProfessorChenSon-nanSubmittedinPartialFulfillmentoftheRequirementsFortheDegreeofMasterInFinanceShanghaiAdvancedInstituteofFinanceShanghaiJiaotongUniversityMay2013ContentsAbstract.............................................................

3、.............................................................i摘要...........................................................................................................................ii1.Introduction.........................................................

4、.....................................................11.1BackgroundandMeaning.................................................................................11.2LiteratureReview..................................................................................

5、............21.2.1VolatilityCalculationModelReview......................................................31.2.2VolatilityPredictionModelReview........................................................41.3MainFocusofResearch........................................

6、............................................81.4StructureOverview.........................................................................................102.VolatilityCalculationandPredictionModels......................................................112.1Con

7、ceptandCalculation.................................................................................112.2PredictionModel.............................................................................................132.2.1GARCHModel...............................

8、......................................................132.2.2ImpliedVolatilityModel.......................................................................152.2.3ModelFreeImpliedVol