Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/198972 
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 7612
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model forecasts, and forecasts combining those two using a mixing strategy based either on a simple average or a weighted average with the weights being determined according to two different criteria (either minimizing the errors or maximizing the information content). Various forecasting performance tests are carried out which suggest that both implied volatility and combination methods using a simple average outperform ARCH/GARCH-type models in terms of forecasting accuracy.
Subjects: 
option-implied volatility
ARCH-type models
mixed strategies
JEL: 
C22
G12
Document Type: 
Working Paper
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