Search Results - subject:"volatility forecasting"

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2002

: conditional covariance matrix,multivariate GARCH,mul- tivariate volatility model,random coefficient model,volatility forecasting …

Persistent link: https://www.econbiz.de/10005649365

Volatility forecasting of carbon prices using factor models.

Chevallier, Julien - Université Paris-Dauphine - 2010

This article develops a forecasting exercise of the volatility of EUA spot, EUA futures, and CER futures carbon prices (modeled after an AR(1)-GARCH(1,1)) using two dynamic factors as exogenous regressors that were extracted from a Factor Augmented VAR model (Bernanke et al. (2005)). The dataset...

Persistent link: https://www.econbiz.de/10008471572

A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options

McAleer, Michael; Wiphatthanananthakul, Chatayan - Department of Economics and Finance, College of … - 2010

In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this paper, with the use of Thailand’s SET50...

Persistent link: https://www.econbiz.de/10008565779

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed El Hedi; Lahiani, Amine; Duc, Khuong Nguyen - Development and Policies Research Center (Depocen) - 2010

This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks and FIGARCH. By relying on a modified...

Persistent link: https://www.econbiz.de/10008738797

The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model

Wang, Ren-Her; Aston, John; Fuh, Cheng-Der - In: Computational Economics 36 (2010) 4, pp. 283-307

Persistent link: https://www.econbiz.de/10008776290

The role of trading volume in volatility forecasting

Le, Van; Zurbruegg, Ralf - In: Journal of International Financial Markets, … 20 (2010) 5, pp. 533-555

Current models of volatility generally either use historical returns or option implied volatility to generate forecasts. Motivated by recent findings in the strand of literature focusing on volume-return (price) volatility relationships, this paper proposes the introduction of trading volume...

Persistent link: https://www.econbiz.de/10008865808

Option-based forecasts of volatility: an empirical study in the DAX-index options market

Muzzioli, S. - In: The European Journal of Finance 16 (2010) 6, pp. 561-586

securities. Volatility forecasting methods can be divided into option-based ones, which use prices of traded options in order to …

Persistent link: https://www.econbiz.de/10008674498

Volatility conditional on price trends

Zumbach, Gilles - In: Quantitative Finance 10 (2010) 4, pp. 431-442

The influence of the past price behaviour on the realized volatility is investigated, showing that trending (driftless) prices lead to increased (decreased) realized volatility. This 'volatility induced by trend' constitutes a new stylized fact. The past price behaviour is measured by the...

Persistent link: https://www.econbiz.de/10008675021

Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets

Febrian, Erie; Herwany, Aldrin - Departemen Manajemen dan Bisnis, Fakultas Ekonomi - 2010

Volatility forecasting is an imperative research field in financial markets and crucial component in most financial … effectiveness of the contending models of statistical and econometric volatility forecasting in the three South-east Asian prominent … then used to assess the markets cointegration. We find that the best volatility forecasting models for JKSE, KLSE, and STI …

Persistent link: https://www.econbiz.de/10009642551

Forecasting volatility: double averaging and weighted medians

Reschenhofer, Erhard - In: International Journal of Computational Economics and … 1 (2010) 3/4, pp. 317-326

New methods to forecast volatility are usually compared to simple methods like weighted moving averages or GARCH (1, 1) models. In this paper, we provide new benchmark methods which are more accurate but still very simple. In an empirical study of daily returns on major world indices, our new...

Persistent link: https://www.econbiz.de/10010669411