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SPEC model selection algorithm for ARCH models: an options pricing evaluation framework

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Author Info
Stavros Degiannakis
Evdokia Xekalaki

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Abstract

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 traders using the SPEC for deciding which model's forecasts to use at any given point in time achieve the highest profits.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/17446540701765258&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 4 (2008)
Issue (Month): 6 ()
Pages: 419-423
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Handle: RePEc:taf:apfelt:v:4:y:2008:i:6:p:419-423

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