Search Results - subject:"volatility forecasting."

Implied Volatility as a Predictor: the Case of the IBEX-35 Future Contract/La volatilidad implícita como herramienta de predicción: una aplicación al contrato de futuro sobre Ibex 35

CABEDO, J. DAVID; MOYA CLEMENTE, ISMAEL - In: Estudios de Economía Aplicada 23 (2005) Abril, pp. 67-78

In this paper we analyse if the implied volatility (IMV) is an unbiased predictor for the realised volatility (REV) of the underlying asset (future contracts). For this aim we use the daily data from Ibex-35 future option market (years 2000 to 2003). From the option prices we obtain a series of...

Persistent link: https://www.econbiz.de/10005814430

Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?

Starica, Catalin; Herzel, Stefano; Nord, Tomas - EconWPA - 2005

impact on volatility forecasting. It reports the results of a detailed analysis of twelve samples of returns on financial …

Persistent link: https://www.econbiz.de/10005119069

Generating Volatility Forecasts from Value at Risk Estimates

Taylor, James W. - In: Management Science 51 (2005) 5, pp. 712-725

Statistical volatility models rely on the assumption that the shape of the conditional distribution is fixed over time and that it is only the volatility that varies. The recently proposed conditional autoregressive value at risk (CAViaR) models require no such assumption, and allow quantiles to...

Persistent link: https://www.econbiz.de/10009214576

Multifractal model of asset returns with leverage effect

Eisler, Z.; Kertész, J. - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 603-622

Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the Lux model and refine the underlying phenomenological...

Persistent link: https://www.econbiz.de/10010590257

Information criteria for GARCH model selection

Brooks, Chris; Burke, Simon - In: The European Journal of Finance 9 (2003) 6, pp. 557-580

In this paper, a set of appropriately modified information criteria for selection of models from the AR-GARCH class is derived. It is argued that unmodified or naively modified traditional information criteria cannot be used for order determination in the context of conditionally heteroscedastic...

Persistent link: https://www.econbiz.de/10005471964

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - Department of Economics, University of Pennsylvania - 2003

A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...

Persistent link: https://www.econbiz.de/10005150230

Non-linear modelling and forecasting of S&P 500 volatility

Verhoeven, Peter; Pilgram, Berndt; McAleer, Michael; … - In: Mathematics and Computers in Simulation (MATCOM) 59 (2002) 1, pp. 233-241

This paper investigates the use of a flexible forecasting method based on non-linear Markov modelling and canonical variate analysis, and the use of a prediction algorithm to forecast conditional volatility. We assess the dynamic behaviour of the model by forecasting volatility of a stock index....

Persistent link: https://www.econbiz.de/10010748964

Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model

Jiang, George J.; Sluis, Pieter J. van der - Society for Computational Economics - SCE - 2001

of observables, is consistent with the model specification and at the same time advantageous in volatility forecasting … explanatory power in the common regression analysis of volatility forecasting. However, the performance of volatility forecasting … based on reprojected volatility series is substantially improved. We also illustrate that the volatility forecasting …

Persistent link: https://www.econbiz.de/10005132901

Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.

Christiansen, Charlotte; Strunk Hansen, Charlotte - Ehrvervøkonomisk Institut, Institut for Økonomi - 2000

Persistent link: https://www.econbiz.de/10005802125