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

Stavros Degiannakis; E. Xekalaki

doi:10.1080/17446540701765258

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

Stavros Degiannakis, E. Xekalaki

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	419-423
Number of pages	5
Journal	Applied Financial Economics Letters
Volume	4
Issue number	6
DOIs	https://doi.org/10.1080/17446540701765258
Publication status	Published - Nov 2008

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10.1080/17446540701765258

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title = "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework",

abstract = "A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki{\textquoteright}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{\textquoteright}s forecasts to use at any given point in time achieve the highest profits.",

author = "Stavros Degiannakis and E. Xekalaki",

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AB - 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.

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

Abstract

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