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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