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finance - Essay Example

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Masters
Essay
Finance & Accounting
Pages 8 (2008 words)

Summary

Analysis GARCH Model Generalized Autoregressive Conditional Heteroskedasticity (GARCH) is a popular model widely used to estimate stochastic volatility (Chance & Brooks, 2009). Its application on finance has been very successful over the years. The most important factor that plays a significant role in finance is the gap that lies between risk and return…

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finance

standard deviation. GARCH model is used in mathematical finance for evaluating derivative securities. GARCH model works on the assumption that underlying volatility is consistent throughout the life of the derivative and do not respond in the changes of its price (Chance & Brooks, 2009. Ans-1) Six Series Co integrate In order to complete the same, we have to recognize and consider below mentioned table and graph,   Oil Gasoil JK Naph LSFO HSFO Mean 41.93075824 49.91961538 51.13502198 41.9046 34.92238 31.07245 Ans-2) Sign of Contagion From the analysis, it is clear that the mean price of JK is the highest as compared to other pricing of oil. The mean price of the crude oil was 41.93, which is comparatively lower than that of other line of services, but it deems extremely beneficial for the company as a whole (Chance & Brooks, 2009. Contingent test has found that the price of JK would remain the same for a long span of time, merely due to low fluctuation in the market. The highest fluctuation among the prices has been found among the prices of oil and Gasoil. By considering the same, it is also analyzed that HSFO has the lowest price provision (average) as compared to other sections. ...
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