Bayesian Inference for Volatility of Stock Prices

Authors

Juliet G. D'Cunha, Mangalore University, Mangalagangorthri, Karnataka, IndiaFollow
K. A. Rao, Mangalore University, Mangalagangothri, Karnataka, IndiaFollow

Abstract

Lognormal distribution is widely used in the analysis of failure time data and stock prices. Maximum likelihood and Bayes estimator of the coefficient of variation of lognormal distribution along with confidence/credible intervals are developed. The utility of Bayes procedure is illustrated by analyzing prices of selected stocks.

DOI

10.22237/jmasm/1414816080