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PRICING OF S&P 100 INDEX OPTIONS BASED ON GARCH VOLATILITY ESTIMATES
Ogus, Ayla - EconWPA - 2005
options but GARCH volatility forecasts do. Trading based on implied volatility forecasts for the S&P 100 index options also … fail to generate profits in excess of transaction costs. This paper shows that trading based on GARCH volatility forecast …&P index options markets. GARCH models fair well due to their flexibility to incorporate asymmetric and nonlinear volatility …
Persistent link: https://www.econbiz.de/10005561600
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A Survivorship Analysis of the French Index Options Market Deviations to Put Call Parity
Riva, Fabrice; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2004
This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...
Persistent link: https://www.econbiz.de/10010706903
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THE IMPLIED VOLATILITY OF ETF AND INDEX OPTIONS
Ivanov, Stoyu I.; Whitworth, Jeff; Zhang, Yi - In: The International Journal of Business and Finance Research 5 (2011) 4, pp. 35-44
We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced than for index options, primarily because...
Persistent link: https://www.econbiz.de/10011206164
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Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - 2005
Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulatedmoments estimator for option volatilities described in Mizrach (2002); the second is a new approach...
Persistent link: https://www.econbiz.de/10010298266
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Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - 2006
) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast …
Persistent link: https://www.econbiz.de/10010298337
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Volatilitätseffekte am US-amerikanischen Häusermarkt
Schindler, Felix - 2009
Renditeverteilung existieren und sich überwiegend auch ein Leverage-Effekt identifizieren lässt. Durch eine ARMA-GARCH …
Persistent link: https://www.econbiz.de/10010299182
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Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns
Fischer, Matthias J. - 2002
A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to...
Persistent link: https://www.econbiz.de/10010299799
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The impact of macroeconomic news on Polish and Czech government bond markets
Hausenblas, Václav; Pištora, Vojtěch - 2015
We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under...
Persistent link: https://www.econbiz.de/10011340610
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Endogenous uncertainty: A unified view of market volatility
Kurz, Mordecai - 1997
and the equity risk premium so low? (iii) Why do asset prices exhibit the "GARCH" behaviour without exogenous fundamental … states of belief in the market is the root cause of all phenomena of market volatility. The paper shows that the GARCH … to balance between sellers and buyers leading to low market volatility. In short, the theory proposes that the GARCH …
Persistent link: https://www.econbiz.de/10011608344
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Endogenous Uncertainty and Market Volatility
Kurz, Mordecai; Motolese, Maurizio - 1999
equity premium. In addition, the model predicts: (v) the GARCH property of risky asset returns; (vi) the Forward Discount …
Persistent link: https://www.econbiz.de/10011608491