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...
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| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/80679723264266482679 |
| Summary: | 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 volatilities of the 1-FSV and GARCH models and then contrast them with the realized volatilities obtained from S&P 500 index.
The results of our study suggest that the GARCH (1,1) model outperforms the 1-FSV model in terms of ex ante forecasting power of volatility. Besides, we plot the volatility surface to exhibit the relationship between implied volatility and exercise prices and time to maturities.
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