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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2001
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| Subjects: | |
| 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 |