Arbeitspapier
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.
- Language
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Englisch
- Bibliographic citation
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Series: CFS Working Paper ; No. 2002/04
- Classification
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Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
- Subject
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market efficiency
implied volatility
GARCH
combined forecasting
- Event
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Geistige Schöpfung
- (who)
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Claessen, Holger
Mittnik, Stefan
- Event
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Veröffentlichung
- (who)
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Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
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Frankfurt a. M.
- (when)
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2002
- Handle
- URN
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urn:nbn:de:hebis:30-9948
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Claessen, Holger
- Mittnik, Stefan
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2002