Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958819 | Journal of Empirical Finance | 2011 | 18 Pages |
Abstract
This paper examines the forecasting performance of GARCH option pricing models from a market momentum perspective, and the possible impacts of financial crises and business conditions are also examined. The empirical results demonstrate that market momentum impacts the forecasting performance of GARCH option pricing models. The EGARCH model performs better under downward market momentum, while the standard GARCH performs better under upward market momentum. In addition, parsimonious models generally outperform richly parameterized ones. The above findings are robust to financial crises, and the results further demonstrate that business conditions influence the forecasting performance of GARCH option pricing models.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Min-Hsien Chiang, Hsin-Yi Huang,