Assignment (MComm)--Stellenbosch University, 2005. / ENGLISH ABSTRACT: Volatilty was originally seen to be constant and deterministic, but it was later realised that
return series are non-stationary. Owing to this non-stationarity nature of returns, there were
no reliable ex-post volatility measurements. Subsequently, researchers focussed on ex-ante
volatility models. It was only then realised that before good volatility models can be created,
reliable ex-post volatility measuremetns need to be defined.
In this study we examine non-parametric ex-post volatility measurements in order to obtain approximations
of the variances of non-stationary return series. A detailed mathematical derivation
and discussion of the already developed volatility measurements, in particular the realised
volatility- and DST measurements, are given In theory, the higher the sample frequency of
returns is, the more accurate the measurements are. These volatility measurements referred
to above, however, all have short-comings in that the realised volatility fails if the sample
frequency becomes to high owing to microstructure effects. On the other hand, the DST measurement
cannot handle changing instantaneous volatility. In this study we introduce a new
volatility measurement, termed microstructure realised volatility, that overcomes these shortcomings.
This measurement, as with realised volatility, is based on quadratic variation theory,
but the underlying return model is more realistic. / AFRIKAANSE OPSOMMING: Volatiliteit is oorspronklik as konstant en deterministies beskou, dit was eers later dat besef is
dat opbrengste nie-stasionêr is. Betroubare volatiliteits metings was nie beskikbaar nie weens
die nie-stasionêre aard van opbrengste. Daarom het navorsers gefokus op vooruitskattingvolatiliteits
modelle. Dit was eers op hierdie stadium dat navorsers besef het dat die
definieering van betroubare volatiliteit metings 'n voorvereiste is vir die skepping van goeie
vooruitskattings modelle.
Nie-parametriese volatiliteit metings word in hierdie studie ondersoek om sodoende benaderings
van die variansies van die nie-stasionêre opbrengste reeks te beraam. 'n Gedetaileerde
wiskundige afleiding en bespreking van bestaande volatiliteits metings, spesifiek gerealiseerde
volatiliteit en DST- metings, word gegee. In teorie salopbrengste wat meer dikwels waargeneem
word tot beter akkuraatheid lei. Bogenoemde volatilitieits metings het egter
tekortkominge aangesien gerealiseerde volatiliteit faal wanneer dit te hoog raak, weens mikrostruktuur
effekte. Aan die ander kant kan die DST meting nie veranderlike oombliklike
volatilitiet hanteer nie. Ons stel in hierdie studie 'n nuwe volatilitieits meting bekend, naamlik
mikro-struktuur gerealiseerde volatiliteit, wat nie hierdie tekortkominge het nie. Net soos met
gerealiseerde volatiliteit sal hierdie meting gebaseer wees op kwadratiese variasie teorie, maar die onderliggende opbrengste model is meer realisties.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/50401 |
| Date | 03 1900 |
| Creators | Du Toit, Cornel |
| Contributors | Conradie, W. J., Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 101 p. |
| Rights | Stellenbosch University |
Page generated in 0.0021 seconds