Estimation and Comparison for Stock Index Volatility with Various Dynamic Volatility Models

• Main Authors: Kuan-Yi Wu, 吳冠億
• Other Authors: Chun-Chou Wu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/23303657722225821469

碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === By using S&P 500, NASDAQ and DJIA stock index, in this paper we examine the relationships among realized return, realized range and implied volatility, finding that the realized range and implied volatility are possessed of excellent explanation power toward the realized return, and thereby can be presented as proxy variables for volatilities. On the other hand, in comparison with the empirical performance on the CARR model and GARCH model. Whatever in-of-sample or out-of-sample volatility forecast, we found that the result from CARR model is better than from GARCH model, which means that range has a better ability than return to present the descriptions of volatilities. Finally, we find that leverage effect and implied volatility can actually increase the explanation power of volatility in short time.