Host: ISCIE, SICE, JSME, JSPE, JSASS, SCEJ
Co-host: Technically Cosponsored by 48 Societies and Institutes
To estimate the corporate default probability, it is important how we calculate the volatility indicates fluctuation of stock price. This research aims to more accurate default probability estimation using a volatility estimation model, which is expressly formulated fluctuation of volatility, by means of maximum likelihood procedure.