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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Main Authors:	Chia-Ching Tseng, 曾家慶
Other Authors:	Alan, Wang
Format:	Others
Language:	en_US
Published:	2005
Online Access:	http://ndltd.ncl.edu.tw/handle/80679723264266482679

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spelling	ndltd-TW-094NCKU53040022016-06-03T04:14:22Z http://ndltd.ncl.edu.tw/handle/80679723264266482679 A Comparison of the 1-FSV and GARCH Models in Local Volatility Forecasts 1-FSV模型和GARCH模型在波動率預測的比較 Chia-Ching Tseng 曾家慶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. Alan, Wang Hong-Chi Lee 王澤世李宏志 2005 學位論文 ; thesis 55 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	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.
author2	Alan, Wang
author_facet	Alan, Wang Chia-Ching Tseng 曾家慶
author	Chia-Ching Tseng 曾家慶
spellingShingle	Chia-Ching Tseng 曾家慶 A Comparison of the 1-FSV and GARCH Models in Local Volatility Forecasts
author_sort	Chia-Ching Tseng
title	A Comparison of the 1-FSV and GARCH Models in Local Volatility Forecasts
title_short	A Comparison of the 1-FSV and GARCH Models in Local Volatility Forecasts
title_full	A Comparison of the 1-FSV and GARCH Models in Local Volatility Forecasts
title_fullStr	A Comparison of the 1-FSV and GARCH Models in Local Volatility Forecasts
title_full_unstemmed	A Comparison of the 1-FSV and GARCH Models in Local Volatility Forecasts
title_sort	comparison of the 1-fsv and garch models in local volatility forecasts
publishDate	2005
url	http://ndltd.ncl.edu.tw/handle/80679723264266482679
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A Comparison of the 1-FSV and GARCH Models in Local Volatility Forecasts

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