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A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam

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  • Mircea ASANDULUI

    () (Alexandru Ioan Cuza University of Iasi, Faculty of Economics and Business Administration, Iasi, Romania)

Abstract

In this paper we analyze the volatility of the 3 most traded stock options at NYSE Euronext Exchange Amsterdam, between January 2009 and May 2011, in order to identify the best models that explain the evolution of options volatility. Based on the analysis of the phenomena, we determine models that describe the evolution of the volatility and with these models we realize forecasts. We used classical models, such as EWMA, but also modern ones represented by heteroscedastic models. Forecasted values are then compared with the real ones. By calculating the differences, we determine the forecast errors, based on which we identify models that provide the most accurate forecasts and models that provide the worst forecasts.

Suggested Citation

  • Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
  • Handle: RePEc:aic:revebs:y:2012:i:10:asanduluim
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    References listed on IDEAS

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    Cited by:

    1. Viorica CHIRILA & Ciprian CHIRILA, 2015. "The Steel European Stock Market Efficiency," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 7(4), pages 873-880, December.
    2. Mihaela SIMIONESCU, 2014. "Improving The Inflation Rate Forecasts Of Romanian Experts Using A Fixed-Effects Models Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 13, pages 87-102, June.

    More about this item

    Keywords

    volatility; Options; forecast; EWMA; heteroscedastic models;

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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