Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility. Employing German DAX-index return data it is found that past returns do not contain useful information beyond the volatility expectations already reflected in option prices. This supports the efficient market hypothesis for the DAX-index options market. Revised edition published in: European Journal of Finance, 8, 2002, 302-321. Klassifikation: G14, C22, C53
| Author: | Holger Claessen, Stefan Mittnik |
|---|---|
| URN: | urn:nbn:de:hebis:30-9948 |
| Series (Serial Number) | CFS working paper series (2002, 04) |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 13.06.2005 |
| Year of first Publication: | 2002 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| Tag: | GARCH ; combined forecasting; implied volatility ; market efficiency |
| Source: | CFS working paper ; 2002,04 revised edition published in: European Journal of Finance, 8, 2002, 302-321 |
| HeBIS PPN: | 202712516 |
| Institutes: | Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
