Heston model explained: stochastic volatility (Excel)

Подписаться 26 тыс.

Просмотров 11 тыс.

50% 1

Heston (1993) model is one of the most widely used stochastic techniques to explain the dynamics of asset prices. It combines a heteroskedastic random walk with a mean-reverting stochastic volatility process which allows to capture several stylised facts observed in return series, such as volatility clustering and dependence between shocks to mean and variance. Today we are discussing the implementation of the Heston model in Excel.
Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Econometrics!
Please consider supporting NEDL on Patreon: / nedleducation

Опубликовано:

16 май 2022

Ссылка:

Скачать:

Готовим ссылку...

Добавить в:

Мой плейлист

Посмотреть позже

Комментарии : 36

@NEDLeducation 2 года назад

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

@MrMahankumar 2 года назад

Hey man great!!!!! Let's all start a movement to get Sava to 10K in a few days and then 100K by the end of this year! Such a great channel for researchers, teachers and applied practioners!

@NEDLeducation 2 года назад

Hi, and thanks so much for the kind words and for being around when the channel cracked 10k!

@MrMahankumar 2 года назад

@@NEDLeducation best wishes and congratulations Sava!!

@yousseflouraoui4330 2 года назад

Highly technical topic explained in such a smooth and friendly way, always a pleasure learning from you!

@Alexander-pk1tu Год назад

Very good video. Thank you. You are very good at talking and showing these complex topics

@plazmafield 2 года назад

You have no idea how long I've been waiting for this video :) Almost there 9.98K subs!

@itsaron6160 Год назад

Thanks for this video! Very well explained.

@FenderAddict93 2 месяца назад

Great video! I wonder how this model could be done with Monte Carlo simulation in Excel though. Would be great if there's an explanation about how it works under MC simulation.

@ammadurrahman5321 5 месяцев назад

Thankyou Sir......Complex concept in easy way.....

@Vlad-h1b 10 дней назад

In best case, this might be only a very rough approximation of Heston. Variance is not observable in Heston. In this Excel it is substituted with a single (!!!) squared return. Also, the likelihood function seems to have a mistake in the dW2 part (not accounting for the root-of-variance term in the variance process).

@JammYSuwapith 2 года назад

Wtf omg you are so fuck god. I understand heston model for the long time but stochastic volatility problem is hard to estimation but you just use the excel and with technique iferror of excel. This is fucking impressive. I love your video. Thank you for the great knowledge.

@lorbax 7 месяцев назад

Hi @NEDL, thanks for sharing this video , I think there is an error in the cell-locking for the log-likelihood column, you want to lock cells $J11 , $J12 but only columns are locked, not rows, and indeed when you apply the formula for all the column , it returns some inconsistent results , like in G19 where the value is massively different from the others. Please check, I hope I got it right . Thanks again for sharing , great resource!

@meriembikourne9997 2 года назад

Hello and thanks for the video!!! it was very helpful. Please can i get the simulation paths of stock and volatility?

@aminelahlou1331 Год назад

Hello! Thank you very much for the video, it's extremely useful. Would you please have a reference to an academic paper that uses this method to calibrate the Heston Model? Your answer would be very helpful for me, thanks in advance.

@jow43 Год назад

Hello, thank you for this video. Very much enjoyed it and pretty much all of your videos. By far the best account on RU-vid to learn this stuff in excel. Was also wondering if you have ever heard of the HAR and HARQ volatility models and if you could possibly make a video about it? If not, no worries. Thank you for all that you do. I've learned a lot since finding your account.

@NEDLeducation Год назад

Hi Joe, and many thanks for such kind words, appreciate your feedback. Will absolutely do a video on these models at some point in the near future.

@jow43 Год назад

@@NEDLeducation Awesome, Thank you.

@bigaspnee4659 Год назад

Hi there. Is there an issue that the Feller condition is not satisfied?

@christosdelivasilis Год назад

How do you make predictions for the stock price with this model?

@Warkurus Год назад

I have a question about realized and expected variance: Should they be close to one another or not? Because if yes, than it is weird that the average of (1-F3/E3) and so on is at -292k instead of 0.

@maltheskaklund3668 2 месяца назад

I don't understand why variance is your residual squared, when your residual is not 0,0158 but instead 1,58... When you calculate the drift you get 0,0945 but when you then calculate the residual you subtract 0,0945 with -1,49%. This seems wrong..?