Forecasting volatility: Evidence from the German stock market

Forecasting volatility: Evidence from the German stock market

In this paper we compare two basic approaches to forecast volatility in the German stock market. The first approach uses various univariate time series techniques while the second approach makes use of volatility implied in option prices. The time series models include the historical mean model, the...

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Bibliographic Details
Main Authors: BLUHM, Hagen H. W., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2001
Subjects:
Forecasting Volatility
ARCH Model
SV Model
Implied Volatility
VaR
Germany
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/2123
https://ink.library.smu.edu.sg/context/soe_research/article/3123/viewcontent/forecasting.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2123
https://ink.library.smu.edu.sg/context/soe_research/article/3123/viewcontent/forecasting.pdf

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