On forecasting stock options volatility: evidence from London international financial futures and options exchange
AbstractOptions’ volatility forecasting represented, in the last decades, a very interesting and frequent domain of research in financial econometrics due to its importance in option pricing, portfolio selection, risk management and other financial activities. The aim of this study is to realize a comparative analysis of the performances obtained by several forecast models in forecasting stock options volatility. For this, we consider the volatility of the 4 most traded options at Euronext London International Financial Futures and Options Stock Exchange (Euronext.Liffe) in the period 2009-2010. When analyzing and forecasting these stock options we use the period January 2009-May 2011; using this base period, we determine the models that describe better the evolution of the volatility. Based on these models we realize forecasts that are finally compared with the real values recorded in the next 10 trading days. In relation with the differences that appear, we determine the forecast errors and by these we identify the best models and the ones that generate the biggest errors.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Faculty of Economics, Tibiscus University in Timisoara in its journal Anale. Seria Stiinte Economice. Timisoara.
Volume (Year): XVIII (2012)
Issue (Month): (May)
options; volatility; forecast; EWMA; GARCH class models;
Find related papers by JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Daniel Kysilka).
If references are entirely missing, you can add them using this form.