SPEC model selection algorithm for ARCH models: an options pricing evaluation framework

Stavros Degiannakis, E. Xekalaki

Research output: Contribution to journalArticlepeer-review

Abstract

A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki’s (2005) poly-model standardized prediction error criterion (SPEC) algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that traders using the SPEC for deciding which model’s forecasts to use at any given point in time achieve the highest profits.
Original languageEnglish
Pages (from-to)419-423
Number of pages5
JournalApplied Financial Economics Letters
Volume4
Issue number6
DOIs
Publication statusPublished - Nov 2008

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