TY  - UNPD
A1  - Claessen, Holger
A1  - Mittnik, Stefan
T1  - Forecasting stock market volatility and the informational efficiency of the DAX-index options market
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2002,04
N2  - 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.
T3  - CFS working paper series - 2002, 04 
KW  - market efficiency
KW  - implied volatility
KW  - GARCH
KW  - combined forecasting
KW  - Deutschland
KW  - Börsenkurs
KW  - Volatilität
KW  - Prognoseverfahren
KW  - Exponential smoothing
KW  - Zeitreihenanalyse
KW  - Index-Futures
KW  - Kapitalmarkteffizienz
KW  - ARCH-Prozess
KW  - GARCH-Prozess
Y1  - 2002
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4499
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-9948
N1  - Revised edition published in: European Journal of Finance, 8, 2002, 302-321.
ER  -