The common way to measure the performance of a volatility prediction model is to assess its ability to predict future volatility. However, as volatility is unobservable, there is no natural metric for measuring the accuracy of any particular model. Noh et al. (1994) assessed the performance of a...

Autoregressive Conditional Heteroscedasticity (ARCH) models have successfully been applied in order to predict asset return volatility. Predicting volatility is of great importance in pricing financial derivatives, selecting portfolios, measuring and managing investment risk more accurately. In...

A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki's (2005) poly-model standardized prediction error criterion (SPEC) algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that...

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...

In this paper a forecasting model selection scheme is considered which amounts to testing the predictive behaviour of a model by adopting Xekalaki and Katti's (1984) idea of assigning to its performance a score for each of a series of time points. The score reflects how close to, or how far...