Estimating Volatility

In simple terms, the concept of volatility refers to an asset's degree of unpredictable price change over a specified period of time. The more volatile an asset, the more difficult it is to predict where its price might be on a future date, and hence the greater the risk associated with the asset.

 

Volatility reached unprecedented levels in many markets in 2008 and huge losses were incurred by many market participants. This course looks at the concept of volatility and how it is assessed and estimated, with particular emphasis on the market volatility of 2008.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Recognize the significance of market volatility and some indicators of this volatility

    Outline the main methods for estimating volatility

  • COURSE OUTLINE

    Topic 1: Random Variables

    What is Volatility?

    Why is Volatility Important?

    Stock Market Volatility

    Other Indicators of Stock Market Volatility

    Bond Market Volatility

    Currency Volatility

    Commodity Market Volatility

    The Impact of Volatility – Case Studies

    Topic 2: Approaches to Volatility Estimation

    Historical Volatility

    o Estimating Simple Historic Volatility

    o Considerations in Using Historical Volatility

    o EWMA Model

    Volatility Modelling

    o ARCH Models

    o GARCH Model

    Implied Volatility

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 minutes

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