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
Englisch

Bibliographic citation
Series: CFS Working Paper ; No. 2002/04

Classification
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
market efficiency
implied volatility
GARCH
combined forecasting

Event
Geistige Schöpfung
(who)
Claessen, Holger
Mittnik, Stefan
Event
Veröffentlichung
(who)
Goethe University Frankfurt, Center for Financial Studies (CFS)
(where)
Frankfurt a. M.
(when)
2002

Handle
URN
urn:nbn:de:hebis:30-9948
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Claessen, Holger
  • Mittnik, Stefan
  • Goethe University Frankfurt, Center for Financial Studies (CFS)

Time of origin

  • 2002

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