dc.contributor.author |
Bluhm, Hagen |
en |
dc.contributor.author |
Yu, Jun |
en |
dc.date.accessioned |
2006-11-30T20:53:46Z |
en |
dc.date.available |
2006-11-30T20:53:46Z |
en |
dc.date.issued |
2001 |
en |
dc.identifier.citation |
Department of Economics Working Paper Series 219 |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/217 |
en |
dc.description.abstract |
In this paper we compare two basic approaches to forecast volatility in the German stock market. The first approach uses various
univariate time series techniques while the second approach makes use of volatility implied in option prices. The time series models
include the historical mean model, the exponentially weighted moving average (EWMA) model, four ARCH-type models and a stochastic
volatility (SV) model. Based on the utilization of volatility forecasts in option pricing and Value-at-Risk (VaR), various forecast
horizons and forecast error measurements are used to assess the ability of volatility forecasts. We show that the model rankings are sensitive to the error
measurements as well as the forecast horizons. The result indicates that it is difficult to state which method is the clear winner.
However, when option pricing is the primary interest, the SV model and implied volatility should be used. On the other hand, when VaR is
the objective, the ARCH-type models are useful. Furthermore, a trading strategy suggests that the time series models are not better than
the implied volatility in predicting volatility. |
en |
dc.format.extent |
application/pdf |
en |
dc.format.mimetype |
text |
en |
dc.language.iso |
en |
en |
dc.publisher |
ResearchSpace@Auckland |
en |
dc.relation.ispartofseries |
Department of Economics Working Paper Series (1997-2006) |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.subject.other |
Forecasting Volatility |
en |
dc.subject.other |
Economics |
en |
dc.title |
Forecasting Volatility:Evidence from the German Stock Market |
en |
dc.type |
Working Paper |
en |
dc.rights.holder |
Copyright: the author |
en |
dc.rights.accessrights |
http://purl.org/eprint/accessRights/OpenAccess |
en |
pubs.org-id |
Economics |
en |