SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework

A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki’s (2005) poly-model SPEC algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that traders using the standardized prediction error criterion (SPEC) for deciding which model’s forecasts to use at any given point in time achieve the highest profits.

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Year of publication:	2008
Authors:	Degiannakis, Stavros ; Xekalaki, Evdokia

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Degiannakis, Stavros and Xekalaki, Evdokia (2008): SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework. Published in: Applied Financial Economics Letters , Vol. 6, No. 4 (2008): pp. 419-423.
Classification:	C12 - Hypothesis Testing ; C40 - Econometric and Statistical Methods: Special Topics. General ; C5 - Econometric Modeling ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing ; G17 - Financial Forecasting
Source:	BASE

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