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BIS Working Papers No 239 Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options by Don H Kim Monetary and Economic Department December
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Start by gathering the necessary data and information related to the underlying asset or market for which you want to calculate volatility.
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Identify the specific time period for which you want to calculate spanned stochastic volatility. This could be daily, weekly, monthly, etc.
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Determine the appropriate mathematical model or formula that suits your needs. There are various models available for calculating volatility, such as GARCH (Generalized Autoregressive Conditional Heteroskedasticity) or SV (Stochastic Volatility) models.
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Depending on the chosen model, input the relevant data into the formula. This typically includes historical price or return data for the underlying asset, along with any other relevant variables or parameters.
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Apply the chosen model to calculate the spanned stochastic volatility. This may involve running regression analysis, estimating parameters, or using numerical methods to solve the model.
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Financial researchers: Spanned stochastic volatility models are commonly used in academic and empirical research to study the behavior of financial markets and assets. Researchers may analyze the relationship between volatility and other variables, test hypotheses, and develop new models or trading strategies based on the results.

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Spanned stochastic volatility refers to a modeling technique used in finance to account for the correlation between asset prices and their volatility. It is commonly used in options pricing and risk management.
Spanned stochastic volatility modeling is primarily used by financial institutions, quantitative analysts, and researchers in the field of finance.
To fill out spanned stochastic volatility, one needs to specify the underlying asset, select an appropriate volatility model, gather historical price and volatility data, and estimate the parameters of the model using statistical techniques or computational methods.
The purpose of using spanned stochastic volatility is to better describe the dynamics of asset prices and their volatility by considering their mutual correlation. This helps in pricing options more accurately and managing the associated risks.
The information that needs to be reported on spanned stochastic volatility includes the chosen volatility model, the estimated parameters of the model, historical price and volatility data, as well as any assumptions or limitations of the model.
There is no specific deadline for filing spanned stochastic volatility models as it is a modeling technique used in finance. However, if the models are used for regulatory purposes or reporting to financial authorities, the deadlines will depend on the specific requirements of the regulatory framework.
Since spanned stochastic volatility is not directly associated with filing documents or reports, there are no specific penalties for its late filing. However, if a financial institution fails to comply with regulatory reporting requirements or deadlines, they may face penalties or fines as stipulated by the regulatory authorities.
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