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 language | English |
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Pages (from-to) | 419-423 |
Number of pages | 5 |
Journal | Applied Financial Economics Letters |
Volume | 4 |
Issue number | 6 |
DOIs | |
Publication status | Published - Nov 2008 |