VOLATILITY FORECASTS, TRADING VOLUME, AND THE ARCH VERSUS OPTION-IMPLIED VOLATILITY TRADE-OFF
نویسندگان
چکیده
منابع مشابه
Volatility Forecasts, Trading Volume, and the Arch versus Option-implied Volatility Trade-off
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...
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Market expectations of future return volatility play a crucial role in nance; so too does our understanding of the process by which information is incorporated in security prices through the trading process. This paper seeks to learn something about both of these issues by investigating empirically the role of trading volume (a) in predicting the relative informativeness of volatility forecasts...
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ژورنال
عنوان ژورنال: Journal of Financial Research
سال: 2005
ISSN: 0270-2592,1475-6803
DOI: 10.1111/j.1475-6803.2005.00137.x