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[02487] Asset Forecasting Using Geometric Brownian Motion and Variance Gamma Models

  • Session Time & Room : 3E (Aug.23, 17:40-19:20) @E505
  • Type : Contributed Talk
  • Abstract : The basic assumption in the Black-Scholes-Merton model is log returns assets normally distributed. In reality, asset price movements are so fluctuating that the data is not normally distributed. This paper proposes a way to forecast using the variance gamma (VG) model. The VG model has three parameters to control volatility, skewness, and kurtosis. We compare results with the geometric Brownian motion (GBM) model. The accuracy of the model used the mean absolute percentage error (MAPE).
  • Classification : 62P20
  • Format : Online Talk on Zoom
  • Author(s) :
    • Abdul Hoyyi (Gadjah Mada University)
    • Abdurakhman Abdurakhman (Gadjah Mada University)
    • Dedi Rosadi (Gadjah Mada University)