Search Results - subject:"volatility forecasting."

Options Trading Based on the Forecasting of Volatility Direction with the Incorporation of Investor Sentiment

Sheu, Her-Jiun; Wei, Yu-Chen - In: Emerging Markets Finance and Trade 47 (2011) 2, pp. 31-47

Using options price data on the Taiwanese stock market, we propose an options trading strategy based on the forecasting of volatility direction. The forecasting models are constructed with the incorporation of absolute returns, heterogeneous autoregressive-realized volatility (HAR-RV), and proxy...

Persistent link: https://www.econbiz.de/10009353240

Assessing the information content of option-based volatility forecasts using fuzzy regression methods

Muzzioli, Silvia; Baets, Bernard De - Dipartimento di Economia "Marco Biagi", Università … - 2011

volatility forecasting, since the variable of interest (realised volatility) is unobservable and a proxy for it is used. Moreover … methods have not yet been used in volatility forecasting. Our case study is based on intra-daily data on the DAX-index options …

Persistent link: https://www.econbiz.de/10009399296

Model-free implied volatility : from surface to index

Fukasawa, Masaaki; Ishida, I.; Maghrebi, N.; Oya, Kosuke; … - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 433-463

Persistent link: https://www.econbiz.de/10009269385

Volatility persistence in the presence of structural breaks in the Indian banking sector

Kumar, Dilip; Maheswaran, S. - In: Paradigm : the journal of Institute of Management Technology 15 (2011) 1/2, pp. 8-17

Persistent link: https://www.econbiz.de/10011758435

Options trading based on the forecasting of volatility direction with the incorporation of investor sentiment

Sheu, Her-Jium; Wei, Yu-Chen - In: Emerging markets finance & trade : a journal of the … 47 (2011) 2, pp. 31-47

Persistent link: https://www.econbiz.de/10009313085

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

He, Changli; Teräsvirta, Timo - 2002

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...

Persistent link: https://www.econbiz.de/10010281189

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

GARCH-based Volatility Forecasts for Market Volatility Indices

Cecconi, Massimiliano; Gallo, Giampiero M.; Lombardi, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2002

Volatility forecasting is one of the main issues in the financial econometrics literature. Volatility measures may be …

Persistent link: https://www.econbiz.de/10005549317

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

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