Tree-Based Methods of Volatility Prediction for the S&P 500 Index
Predicting asset return volatility is one of the central problems in quantitative finance. These predictions are used for portfolio construction, calculation of value at risk (VaR), and pricing of derivatives such as options. Classical methods of volatility prediction utilize historical returns data...
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| Format: | Article |
| Language: | English |
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MDPI AG
2025-03-01
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| Series: | Computation |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-3197/13/4/84 |
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