Volatility modelling and market risk analysis
Preface
1
Financial market
1.1
Capital market and money market
1.2
Market effectiveness
2
Data
2.1
Sources of financial data
3
Return rates
3.1
Return rates – definitions
3.1.1
Total return
3.1.2
Rate of return
3.1.3
Log returns
3.2
Margin trading
3.3
Short sales
3.4
Exercises
4
Descriptive statistics
4.1
Distribution of a single feature
4.1.1
Averages
4.1.2
Average geometric return, CAGR
4.1.3
Variance and standard deviation
4.1.4
Skewness / asymmetry
4.1.5
Kurtosis
4.2
Measuring association
4.2.1
Covariance
4.2.2
Correlation
4.3
Exercises
5
Visualisation of stock market data
5.1
Typical statistical plots
5.1.1
Histogram
5.1.2
Scatterplot
5.2
Stock charts
5.2.1
Line charts
5.2.2
Candlestick charts
6
Empirical characteristics of stock market data data
6.1
Non-normality (fat tails, skewness)
6.1.1
Leptokurtosis
6.1.2
Skewness
6.1.3
Approaching Gaussian for aggregated periods
6.2
Volatility clustering
6.3
Limited autocorrelation
7
Distributions
7.1
Normal distribution
7.2
Student t distribution
7.3
Skewed generalized Student t distribution
7.4
Mix of normal distributions
8
Value at risk
References
Published with bookdown
Volatility modelling and market risk analysis – course notes
Chapter 1
Financial market
1.1
Capital market and money market
1.2
Market effectiveness