Forecasting stock index volatility : comparing implied volatility and the intraday high-low price range
Data(s) |
01/01/2007
|
---|---|
Resumo |
The intraday high–low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high–low range volatility consistently outperforms the other.<br /> |
Identificador | |
Idioma(s) |
eng |
Publicador |
Wiley - Blackwell |
Relação |
http://dro.deakin.edu.au/eserv/DU:30019578/corrado-forecastingstockindex-2007.pdf http://dx.doi.org/10.1111/j.1475-6803.2007.00210.x |
Palavras-Chave | #intraday high-low price #volatility indexes #C13 #C22 #C53 #G13 #G14 |
Tipo |
Journal Article |