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 
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
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Metadaten
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):2005/06/13
Year of first Publication:2002
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2005/06/13
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):License Logo Veröffentlichungsvertrag für Publikationen

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