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.
| Author: | Holger Claessen, Stefan Mittnik |
|---|---|
| URN: | urn:nbn:de:hebis:30-9948 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2002,04 |
| Series (Serial Number): | CFS working paper series (2002, 04) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2002 |
| Year of first Publication: | 2002 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2005/06/13 |
| Tag: | GARCH; combined forecasting; implied volatility; market efficiency |
| GND Keyword: | Deutschland; Börsenkurs; Volatilität; Prognoseverfahren; Exponential smoothing; Zeitreihenanalyse; Index-Futures; Kapitalmarkteffizienz; ARCH-Prozess; GARCH-Prozess |
| Note: | Revised edition published in: European Journal of Finance, 8, 2002, 302-321. |
| HeBIS-PPN: | 202712516 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C22 Time-Series Models; Dynamic Quantile Regressions (Updated!) |
| C Mathematical and Quantitative Methods / C5 Econometric Modeling / C53 Forecasting and Other Model Applications | |
| Licence (German): |  Deutsches Urheberrecht |
