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Full-Text Articles in Social and Behavioral Sciences
Macroeconomic Announcements, Volatility And Interrelationships: An Examination Of The Uk Bond And Stock Markets, Bradley Jones
Macroeconomic Announcements, Volatility And Interrelationships: An Examination Of The Uk Bond And Stock Markets, Bradley Jones
Theses : Honours
This study covers considerable ground and touches on a range of issues in a rigorous investigation of the intraday and end-of-day behaviour of I JK stock index and interest rate futures contracts. Firstly, the paper uses S-minute data in an initial examination of the response of the Short Sterling, Long Gilt and FTSEI00 to the release of macroeconomic announcements (assisted with the application of GMM). Secondly, in an analysis of intraday patterns in returns and volatility a GARCII(I,I) framework is employed, so that further inferences are made robust to time-varying variance. Finally, the paper draws upon some of the latest …
An Analysis Of Option Pricing Under Systematic Consumption Risk Using Garch, Alex Georgievski
An Analysis Of Option Pricing Under Systematic Consumption Risk Using Garch, Alex Georgievski
Theses : Honours
We aim to test two things. Firstly, whether accounting for the persistence in volatility decreases the errors between the option prices implied from our models and the observed option prices and secondly, whether the pricing errors are reduced when you allow for the fact that consumption is correlated with returns on the underlying asset. Three option pricing models are developed and tested. 1-The Black and Scholes option pricing model, 2-The GARCH (1,1) model under risk neutrality and 3- The GARCH (1,1) model under systematic consumption risk, using recent daily data on traded options on the FTSE 100 share price index. …