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Statistical Computational of Volatility in Financial Time Series Data
Abstract:It is well known that during the developments in the economic sector and through the financial crises occur everywhere in the whole world, volatility measurement is the most important concept in financial time series. Therefore in this paper we discuss the volatility for Amman stocks market (Jordan) for certain period of time. Since wavelet transform is one of the most famous filtering methods and grows up very quickly in the last decade, we compare this method with the traditional technique, Fast Fourier transform to decide the best method for analyzing the volatility. The comparison will be done on some of the statistical properties by using Matlab program.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1327812Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2088
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