https://scholars.lib.ntu.edu.tw/handle/123456789/414639
標題: | Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options | 作者: | WEN-I CHUANG Huang, Teng Ching Lin, Bing Huei |
關鍵字: | GARCH | Global financial crisis | Implied volatility | Index and equity options | Markov-switching multifractal model | 公開日期: | 1-八月-2013 | 出版社: | ELSEVIER SCIENCE INC | 卷: | 25 | 起(迄)頁: | 168 | 來源出版物: | North American Journal of Economics and Finance | 摘要: | In this paper, we evaluate the performance of the ability of Markov-switching multifractal (MSM), implied, GARCH, and historical volatilities to predict realized volatility for both the S&P 100 index and equity options. Some important findings are as follows. First, we find that the ability of MSM and GARCH volatilities to predict realized volatility is better than that of implied and historical volatilities for both the index and equity options. Second, equity option volatility is more difficult to be forecast than index option volatility. Third, both index and equity option volatilities can be better forecast during non-global financial crisis periods than during global financial crisis periods. Fourth, equity option volatility exhibits distinct patterns conditional on various equity and option characteristics and its predictability by MSM and implied volatilities depends on these characteristics. And finally, we find that MSM volatility outperforms implied volatility in predicting equity option volatility conditional on various equity and option characteristics. © 2012 Elsevier Inc. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414639 | ISSN: | 10629408 | DOI: | https://api.elsevier.com/content/abstract/scopus_id/84879105615 10.1016/j.najef.2012.06.007 |
顯示於: | 財務金融學系 |
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