Trade Versus Time Series Based Volatility Forecasts: Evidence from the Austrian Stock Market

Financial Markets and Portfolio Management, Vol. 15, No. 4, 2001

Posted: 6 Sep 2005

See all articles by Martin Scheicher

Martin Scheicher

European Central Bank (ECB)

Alfred Lehar

University of Calgary - Haskayne School of Business

Günter Strobl

University of Vienna - Department of Finance

Abstract

This paper compares the quality of commonly used predictors for the volatility of stock returns. The techniques studied are moving averages of squared returns, GARCH and stochastic volatility models, and the implied volatility. We use a variety of econometric criteria to assess the forecasting performance. Among the models we estimate, no clear winner emerges. The implied volatility is found to contain information, which is absent in time series, based forecasts. Based on our findings we suggest practical consequences for the purpose of derivatives valuation and risk management.

JEL Classification: G0, G1

Suggested Citation

Scheicher, Martin and Lehar, Alfred and Strobl, Günter, Trade Versus Time Series Based Volatility Forecasts: Evidence from the Austrian Stock Market. Financial Markets and Portfolio Management, Vol. 15, No. 4, 2001, Available at SSRN: https://ssrn.com/abstract=795904

Martin Scheicher (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+49 69 1344 (Phone)
+49 69 1344 7949 (Fax)

HOME PAGE: http://www.ecb.europa.eu

Alfred Lehar

University of Calgary - Haskayne School of Business ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403-220-4567 (Phone)

HOME PAGE: http://homepages.ucalgary.ca/~alehar/

Günter Strobl

University of Vienna - Department of Finance ( email )

Oskar-Morgenstern-Platz 1
Vienna, 1090
Austria

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