Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI

Financial investment is one of the most lucrative opportunities to earn money if the investors can make smart decision in investing their resources. However, investments involve certain risks, it may generate positive or negative returns, which means it may increase or decrease the investors’ capita...

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Main Author:	Tey, Seah Ying
Format:	Thesis
Language:	English
Published:	2012
Subjects:	QA Mathematics
Online Access:	http://eprints.utm.my/id/eprint/28514/1/TeySeahYingMFS2012.pdf
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id	my-utm-ep.28514
record_format	uketd_dc
spelling	my-utm-ep.285142017-09-20T08:55:52Z Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI 2012-12 Tey, Seah Ying QA Mathematics Financial investment is one of the most lucrative opportunities to earn money if the investors can make smart decision in investing their resources. However, investments involve certain risks, it may generate positive or negative returns, which means it may increase or decrease the investors’ capital. In this study, the probability distribution of returns for the index prices of FTSE Bursa Malaysia KLCI based on the Heston Model with stochastic variance is constructed to analyse its capability in describing the returns for the index prices of FTSE Bursa Malaysia KLCI. The values of parameters in Heston Model of the index prices of FTSE Bursa Malaysia KLCI have been estimated based on Simulated Maximum Likelihood method using SDE toolbox in Matlab. The solutions of the stochastic differential equation were approximated by Euler-Maruyama method. It is found that for complete set of FTSE Bursa Malaysia KLCI data, the probability distribution of log returns for closing prices of FTSE Bursa Malaysia KLCI fitted the theoretical curve (Dragulescu and Yakovenko, 2002) better at time lag, . However, for truncated data of FTSE Bursa Malaysia KLCI, the probability distribution of log returns for closing prices of FTSE Bursa Malaysia KLCI fitted the theoretical curve (Dragulescu and Yakovenko, 2002) better at time lag, 1, 5 and 20. 2012-12 Thesis http://eprints.utm.my/id/eprint/28514/ http://eprints.utm.my/id/eprint/28514/1/TeySeahYingMFS2012.pdf application/pdf en public masters Universiti Teknologi Malaysia, Faculty of Science Faculty of Science
institution	Universiti Teknologi Malaysia
collection	UTM Institutional Repository
language	English
topic	QA Mathematics
spellingShingle	QA Mathematics Tey, Seah Ying Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI
description	Financial investment is one of the most lucrative opportunities to earn money if the investors can make smart decision in investing their resources. However, investments involve certain risks, it may generate positive or negative returns, which means it may increase or decrease the investors’ capital. In this study, the probability distribution of returns for the index prices of FTSE Bursa Malaysia KLCI based on the Heston Model with stochastic variance is constructed to analyse its capability in describing the returns for the index prices of FTSE Bursa Malaysia KLCI. The values of parameters in Heston Model of the index prices of FTSE Bursa Malaysia KLCI have been estimated based on Simulated Maximum Likelihood method using SDE toolbox in Matlab. The solutions of the stochastic differential equation were approximated by Euler-Maruyama method. It is found that for complete set of FTSE Bursa Malaysia KLCI data, the probability distribution of log returns for closing prices of FTSE Bursa Malaysia KLCI fitted the theoretical curve (Dragulescu and Yakovenko, 2002) better at time lag, . However, for truncated data of FTSE Bursa Malaysia KLCI, the probability distribution of log returns for closing prices of FTSE Bursa Malaysia KLCI fitted the theoretical curve (Dragulescu and Yakovenko, 2002) better at time lag, 1, 5 and 20.
format	Thesis
qualification_level	Master's degree
author	Tey, Seah Ying
author_facet	Tey, Seah Ying
author_sort	Tey, Seah Ying
title	Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI
title_short	Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI
title_full	Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI
title_fullStr	Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI
title_full_unstemmed	Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI
title_sort	probability distribution of returns in heston model for index prices of ftse bursa malaysia klci
granting_institution	Universiti Teknologi Malaysia, Faculty of Science
granting_department	Faculty of Science
publishDate	2012
url	http://eprints.utm.my/id/eprint/28514/1/TeySeahYingMFS2012.pdf
_version_	1747815671431954432

Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI

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