ARC Future Fellowships - Grant ID: FT0991045

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/FT0991045

Funding Status
Closed

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Funded Activity Summary

A Bayesian State Space Methodology for Forecasting Stock Market Volatility and Associated Time-varying Risk Premia. Accurate prediction of stock market volatility is critical for effective financial risk management. Along with information on volatility embedded in historical stock market returns, the prices of options written on the underlying stocks also reflect the option market's assessment of future volatility. This project will exploit this dual data source in a completely new way, using it to produce forecasts of both volatility itself and the premia factored into asset prices as a result of traders' perceptions of volatility risk. State-of-the-art statistical methods will be used to produce up-dates of the probability of extreme volatility and/or extreme risk aversion, as new market data becomes available each trading day.

Funded Activity Details

Start Date: 01-01-2010

End Date: 31-12-2013

Funding Scheme: ARC Future Fellowships

Funding Amount: $834,200.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Financial Econometrics | Economic Models And Forecasting | Econometric And Statistical Methods | Econometrics |

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Economic issues not elsewhere classified | Mathematical sciences

Other Keywords

Econometric And Statistical Methods | Econometrics | Economic Models And Forecasting | Economic issues not elsewhere classified | Finance and investment services | Financial Econometrics | Mathematical sciences

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