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Colloquium - Abu-Mostafa

ECCR 2-28

Validation of Volatility Models
California Institute of Technology

In modeling a financial time series, one can validate the prediction of the (time-varying) mean by directly comparing the predition to the actual value of the series. To validate the prediction of the (time-varying) variance, however, one uses less direct methods such as the likelihood function. The value of the variance or volatility does not only provide an error bar on the mean prediction, but also is a tradable quantity in its own right, e.g., as in options and other derivatives.

In this talk, we evaluate the of the likelihood function as a means of training (in sample) and validating (out of sample) a volatility model. The fidelity, or lack thereof, is then used to modify and combine different models to come up with a better model for the actual volatility.

Refreshments will be served immediately before the talk at 3:30pm.
Hosted by Andreas Weigend.

The Department holds colloquia throughout the Fall and Spring semesters. These colloquia, open to the public, are typically held on Thursday afternoons, but sometimes occur at other times as well. If you would like to receive email notification of upcoming colloquia, subscribe to our Colloquia Mailing List. If you would like to schedule a colloquium, see Colloquium Scheduling.

Sign language interpreters are available upon request. Please contact Stephanie Morris at least five days prior to the colloquium.

See also:
Department of Computer Science
College of Engineering and Applied Science
University of Colorado Boulder
Boulder, CO 80309-0430 USA
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