EconPapers    
Economics at your fingertips  
 

GARCH-based Volatility Forecasts for Market Volatility Indices

Massimiliano Cecconi, Giampiero Gallo () and Marco Lombardi ()

Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"

Abstract: Volatility forecasting is one of the main issues in the financial econometrics literature. Volatility measures may be derived from statistical models for conditional variance, or from option prices. In recent times, indices have been suggested which summarize the implied volatility of widely traded market index options. One such index is the so-called VXN, an average of 30-day ahead implied volatilities of the options written on the NASDAQ-100 Index. In this paper we show how forecasts obtained with traditional GARCH-type models can be used to forecast the volatility index VXN.

Keywords: Volatility modelling; Volatility forecasting; GARCH models; VXN; Implied volatility. (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2002-02-27
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://local.disia.unifi.it/ricerca/pubblicazioni/ ... s/2002/wp2002_06.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fir:econom:wp2002_06

Access Statistics for this paper

More papers in Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Francesco Calvori (). This e-mail address is bad, please contact .

 
Page updated 2019-10-16
Handle: RePEc:fir:econom:wp2002_06