Download or read book Modeling and Forecasting Volatility and Prices for SET50 Index Options written by Chanyapat Wiphatthanananthakul and published by LAP Lambert Academic Publishing. This book was released on 2018-06-19 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this book, with the use of Thailand's SET50 Index Options data, we modify the apparently complicated VIX formula to a simple relationship, which has a higher negative correlation between the VIX for Thailand (TVIX) and SET50 Index Options. We show that TVIX provides more accurate forecasts of option prices than the simple expected volatility (SEV) index, but the SEV index outperforms TVIX in forecasting expected volatility. Therefore, the SEV index would seem to be a superior tool as a hedging diversification tool because of the high negative correlation with the volatility index.
Download or read book A Simple Expected Volatility SEV Index written by Chatayan Wiphatthanananthakul and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Test of Efficiency for the S P 500 Index Option Market Using Variance Forecasts written by Jaesun Noh and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: To forecast future option prices, autoregressive models of implied volatility derived from observed option prices are commonly employed [see Day and Lewis (1990), and Harvey and Whaley (1992)]. In contrast, the ARCH model proposed by Engle (1982) models the dynamic behavior in volatility, forecasting future volatility using only the return series of an asset. We assess the performance of these two volatility prediction models from S&P 500 index options market data over the period from September 1986 to December 1991 by employing two agents who trade straddles, each using one of the two different methods of forecast. Straddle trading is employed since a straddle does not need to be hedged. Each agent prices options according to her chosen method of forecast, buying (selling) straddles when her forecast price for tomorrow is higher (lower) than today's market closing price, and at the end of each day the rates of return are computed. We find that the agent using the GARCH forecast method earns greater profit than the agent who uses the implied volatility regression (IVR) forecast model. In particular, the agent using the GARCH forecast method earns a profit in excess of a cost of $0.25 per straddle with the near-the-money straddle trading.
Download or read book Forecasting Future Volatility from Option Prices written by Allen M. Poteshman and published by . This book was released on 2000 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evidence exists that option prices produce biased forecasts of future volatility across a wide variety of options markets. This paper presents two main results. First, approximately half of the forecasting bias in the Samp;P 500 index (SPX) options market is eliminated by constructing measures of realized volatility from five minute observations on SPX futures rather than from daily closing SPX levels. Second, much of the remaining forecasting bias is eliminated by employing an option pricing model that permits a non-zero market price of volatility risk.
Download or read book Forecasting Volatility written by Stephen Figlewski and published by . This book was released on 1997 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Volatility and Option Prices of the S P 500 Index written by Jaesun Noh and published by . This book was released on 1994 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling and Forecasting Implied Volatility Indices and the Application in Risk Management and Option Trading written by and published by . This book was released on 2013 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling and Forecasting the VIX Index written by Katja Ahoniemi and published by . This book was released on 2008 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper models the implied volatility of the Samp;P 500 index, with the aim of producing useful forecasts for option traders. Numerous time-series models of the VIX index are estimated, and daily out-of-sample forecasts are calculated from all relevant models. The directional accuracy of the forecasts is evaluated with market-timing tests. Option trades are simulated based on the forecasts, and their profitability is also used to rank the models. The results indicate that an ARIMA (1,1,1) model enhanced with exogenous regressors has predictive power regarding the directional change in the VIX index. GARCH terms are statistically significant, but do not improve forecasts. The best models predict the direction of change correctly for over 60 percent of the trading days. Out-of-sample option trading over a period of fifteen months yields positive returns when the forecasts from the best models are used as the basis for investment decisions.
Download or read book Volatility Forecasts Trading Volume and the Arch Versus Option Implied Volatility Trade Off written by Glen Donaldson and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate empirically the role of trading volume (1) in predicting the relative informativeness of volatility forecasts produced by autoregressive conditional heteroskedasticity (ARCH) models versus the volatility forecasts derived from option prices, and (2) in improving volatility forecasts produced by ARCH and option models and combinations of models. Daily and monthly data are explored. We find that if trading volume was low during period t-1 relative to the recent past, ARCH is at least as important as options for forecasting future stock market volatility. Conversely, if volume was high during period t-1 relative to the recent past, option-implied volatility is much more important than ARCH for forecasting future volatility. Considering relative trading volume as a proxy for changes in the set of information available to investors, our findings reveal an important switching role for trading volume between a volatility forecast that reflects relatively stale information (the historical ARCH estimate) and the option-implied forward-looking estimate.
Download or read book GARCH Models for Forecasting Volatility and Determining Arbitrage in Options written by Mihir Dash and published by . This book was released on 2009 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives have become widely accepted as tools for hedging and risk-management, and also to some extent for speculation. A more recent trend has been gaining some ground, that of arbitrage in derivatives.The critical parameter in derivatives pricing is the volatility of the underlying asset. Exchanges often overestimate volatility in order to cover for any sudden changes in market behavior, leading to systematic overpricing of derivatives. Accurate forecasting of volatility would expose this systematic overpricing.Unfortunately, volatility is not an easy phenomenon to predict or forecast. One class of models which have proved successful in forecasting volatility in many situations is the GARCH family of models. The objective of the present study is to analyze systematic mispricing of options derivatives. In order to perform the analysis, data was collected for a sample of NSE-traded stock options and for their underlying stocks for the period of one year prior to the contract. The study uses GARCH models to forecast underlying stock volatility, and uses this forecasted volatility in the Black-Scholes model in order to determine whether the corresponding options are fairly priced. The motivation behind the research was to find systematic mispricing that would provide evidence for arbitrage opportunities.
Download or read book Forecasting Stock Index Futures Price Volatility written by Mohammad Najand and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The study examines the relative ability of various models to forecast daily stock index futures volatility. The forecasting models that are employed range from naive models to the relatively complex ARCH-class models. It is found that among linear models of stock index futures volatility, the autoregressive model ranks first using the RMSE and MAPE criteria. We also examine three nonlinear models. These models are GARCH-M, EGARCH, and ESTAR. We find that nonlinear GARCH models dominate linear models utilizing the RMSE and the MAPE error statistics and EGARCH appears to be the best model for forecasting stock index futures price volatility.
Download or read book Forecasting Volatility and Option Pricing for Exchange rate Dynamics written by Jürgen Kaehler and published by . This book was released on 1993 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Issues in Computer Programming 2011 Edition written by and published by ScholarlyEditions. This book was released on 2012-01-09 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Computer Programming / 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Computer Programming. The editors have built Issues in Computer Programming: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Computer Programming in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Computer Programming: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Download or read book Soft Computing and Signal Processing written by Jiacun Wang and published by Springer. This book was released on 2019-02-14 with total page 783 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book includes research papers on current developments in the field of soft computing and signal processing, selected from papers presented at the International Conference on Soft Computing and Signal Processing (ICSCSP 2018). It features papers on current topics, such as soft sets, rough sets, fuzzy logic, neural networks, genetic algorithms and machine learning. It also discusses various aspects of these topics, like technologies, product implementation, and application issues.
Download or read book Applied Soft Computing and Communication Networks written by Sabu M. Thampi and published by Springer Nature. This book was released on 2021-07-01 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes thoroughly refereed post-conference proceedings of the International Applied Soft Computing and Communication Networks (ACN 2020) held in VIT, Chennai, India, during October 14–17, 2020. The research papers presented were carefully reviewed and selected from several initial submissions. The book is directed to the researchers and scientists engaged in various fields of intelligent systems.
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Download or read book Efficient Reinforcement Learning Using Gaussian Processes written by Marc Peter Deisenroth and published by KIT Scientific Publishing. This book was released on 2010 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines Gaussian processes in both model-based reinforcement learning (RL) and inference in nonlinear dynamic systems.First, we introduce PILCO, a fully Bayesian approach for efficient RL in continuous-valued state and action spaces when no expert knowledge is available. PILCO takes model uncertainties consistently into account during long-term planning to reduce model bias. Second, we propose principled algorithms for robust filtering and smoothing in GP dynamic systems.
