Forecasting volatility: Evidence from the German stock market

• 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
• Institution: Singapore Management University

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...