ARCH模型的SPEC模型选择算法:一个期权定价评估框架

Applied Financial Economics Letters Pub Date : 2008-10-17 DOI:10.1080/17446540701765258

Stavros Degiannakis, E. Xekalaki

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引用次数: 1

摘要

在交易标准普尔500指数实际期权收益方面，将一些基于单一ARCH模型的预测波动率方法与Degiannakis和Xekalaki(2005)的多模型标准化预测误差标准(SPEC)算法方法进行了比较。结果表明，交易者使用SPEC来决定在任何给定的时间点使用哪种模型的预测，可以获得最高的利润。

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

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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Applied Financial Economics Letters

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