کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10482361 | 933558 | 2019 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Forecasting the KOSPI200 spot volatility using various volatility measures
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
This study examines the volatility forecasting performance of various historical and implied volatility measures. We compare the informational efficiency of lagged realized volatility, GARCH-family volatilities, out-of-the-money (OTM) and at-the-money (ATM) implied volatilities, and the market volatility index (VKOSPI) using univariate and encompassing regression analyses. We find that historical and implied volatility both have good predictive ability, but are biased estimators of future volatility. Furthermore, the information content of the implied volatility constructed from slightly OTM options encompasses that of the deep OTM and ATM options. In general, the VKOSPI exhibits the best forecasting performance among the volatility measures analyzed in this study. However, incorporating GJR-GARCH volatility, which exhibits the best performance among the GARCH-family volatilities, in the prediction model possibly improves the explanatory power of the VKOSPI.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 514, 15 January 2019, Pages 156-166
Journal: Physica A: Statistical Mechanics and its Applications - Volume 514, 15 January 2019, Pages 156-166
نویسندگان
Dohyun Chun, Hoon Cho, Doojin Ryu,