A Comparison of the 1-FSV and GARCH Models in Local Volatility Forecasts
碩士 === 國立成功大學 === 財務金融研究所 === 94 === This paper compares the accuracy of different measures for forecasting the volatility of S&P 500 (SPX) index options prices. Using daily data reported daily by the CBOE from September 2003 through June 2004, we examine the predictive performance of volatiliti...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/80679723264266482679 |