A number of ARCH models are considered in the framework of evaluating the performance of a method for model selection based on a standardized prediction error criterion (SPEC). According to this method, the ARCH model with the lowest sum of squared standardized forecasting errors is selected for...

Predicting the one-step-ahead volatility is of great importance in measuring and managing investment risk more accurately. Taking into consideration the main characteristics of the conditional volatility of asset returns, an asymmetric Autoregressive Conditional Heteroscedasticity (ARCH) model...

This paper examines hedging in Greek stock index futures market. The focus is on various techniques to estimate constant or time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), a variety of econometric models are employed to...

This study examines the effect of the first introduction of Greek stock options (Greek Telecommunication Organisation, Intracom, National Bank of Greece and Alpha Bank) on stock prices and volatility for the period 1999 to 2002. We examine the asymmetric information hypothesis using a standard...