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

  • Mircea ASANDULUI

    ()

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

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.

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Article provided by Alexandru Ioan Cuza University, Faculty of Economics and Business Administration in its journal Review of Economic and Business Studies.

Volume (Year): (2012)
Issue (Month): 10 (December)
Pages: 179-190

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Handle: RePEc:aic:revebs:y:2012:i:10:asanduluim
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