This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Volatility Forecasts, Trading Volume and the ARCH vs. Option-Implied Volatility Tradeoff

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Donaldson, R.G.
Kamstra, M.

Additional information is available for the following registered author(s):

Abstract

Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the process by which information is incorporated in security prices through the trading process. This paper seeks to learn something about both of these issues by investigating empirically the role of trading volume (a) in predicting the relative informativeness of volatility forecasts produced by ARCH models versus the volatility forecasts derived from option prices, and (b) in improving volatility forecasts produced by ARCH and option models and combinations of models.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Paper provided by Department of Economics, Simon Fraser University in its series Discussion Papers with number dp01-1.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 23 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:sfu:sfudps:dp01-1

Contact details of provider:
Postal: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Phone: (778)782-3508
Fax: (778)782-5944
Web page: http://www.econ.sfu.ca/
More information through EDIRC

Order Information:
Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Email:
Web: http://www.econ.sfu.ca/Research_and_Seminars/Publications/index.html

For technical questions regarding this item, or to correct its listing, contact: (Working Paper Coordinator).

Related research
Keywords: TRADE EXPECTATIONS FORECASTS

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation
F1 - International Economics - - Trade

Statistics
Access and download statistics

Did you know? There is a FAQ (frequently asked questions).

This page was last updated on 2008-11-17.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.