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

Stavros Degiannakis and Evdokia Xekalaki

Applied Financial Economics Letters, 2008, vol. 4, issue 6, 419-423

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.

Date: 2008
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Working Paper: SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework (2008)
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DOI: 10.1080/17446540701765258

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