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Exploratory graphics for financial time series volatility
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Lawrance, Anthony J. (2013) Exploratory graphics for financial time series volatility. Journal of the Royal Statistical Society Series C: Applied Statistics, Volume 62 (Number 5). pp. 669-686. doi:10.1111/rssc.12016 ISSN 0035-9254.
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Official URL: http://dx.doi.org/10.1111/rssc.12016
Abstract
The paper develops a framework for volatility graphics in financial time series analysis which allows exploration of the time progression of volatility and the dependence of volatility on past behaviour. It is particularly suitable for identifying volatility structure to be incorporated in specific volatility models. Plotting techniques are identified on the basis of a general time series volatility model and are illustrated on the Financial Times Stock Exchange 100-Share Index financial time series. They are statistically validated by bootstrapping and application to simulated volatile and non-volatile series, generated by both conditionally heteroscedastic and stochastic volatility models. An important point is that volatility can only be properly visualized and analysed for linearly uncorrelated or decorrelated series.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Journal of the Royal Statistical Society Series C: Applied Statistics | ||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||
ISSN: | 0035-9254 | ||||
Official Date: | October 2013 | ||||
Dates: |
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Volume: | Volume 62 | ||||
Number: | Number 5 | ||||
Page Range: | pp. 669-686 | ||||
DOI: | 10.1111/rssc.12016 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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