| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4520 |
| 来源ID | Working Paper 4520 |
| A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts | |
| Jaesun Noh; Robert F. Engle; Alex Kane | |
| 发表日期 | 1993-11-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | To forecast future option prices, autoregressive models of implied volatility derived from observed option prices are commonly employed [see Day and Lewis (1990), and Harvey and Whaley (1992)]. In contrast, the ARCH model proposed by Engle (1982) models the dynamic behavior in volatility, forecasting future volatility using only the return series of an asset. We assess the performance of these two volatility prediction models from S&P 500 index options market data over the period from September 1986 to December 1991 by employing two agents who trade straddles, each using one of the two different methods of forecast. Straddle trading is employed since a straddle does not need to be hedged. Each agent prices options according to her chosen method of forecast, buying (selling) straddles when her forecast price for tomorrow is higher (lower) than today's market closing price, and at the end of each day the rates of return are computed. We find that the agent using the GARCH forecast method earns greater profit than the agent who uses the implied volatility regression (IVR) forecast model. In particular, the agent using the GARCH forecast method earns a profit in excess of a cost of $0.25 per straddle with the near-the-money straddle trading. |
| URL | https://www.nber.org/papers/w4520 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561900 |
| 推荐引用方式 GB/T 7714 | Jaesun Noh,Robert F. Engle,Alex Kane. A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4520.pdf（313KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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