STOCHASTIC MODELLING AND PROGNOSIS OF AN UNDERLYING ASSET PRICING

by Cipu, Elena Corina and Panzar, Laura
Published in Romanian Journal of Economic Forecasting, 2005, volume 6 issue 3, 22-36

Abstract

The aim of this paper is to obtain a stochastic model for an underlying asset pricing. Several stochastic models using time series are presented, such as stationary stochastic processes AR and MA or ARMA, and ARCH processes with conditional volatility as a stochastic process. Numerical data were used in order to compare the models.

Keywords: stochastic modeling, time series, numerical methods
JEL Classification: C20, C32