Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Holger Claessen and Stefan Mittnik

No 2002/04, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility. Employing German DAX-index return data it is found that past returns do not contain useful information beyond the volatility expectations already reflected in option prices. This supports the efficient market hypothesis for the DAX-index options market.

Keywords: market efficiency; implied volatility; GARCH; combined forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 G14 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (22)

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Journal Article: Forecasting stock market volatility and the informational efficiency of the DAX-index options market (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:200204

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