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Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
CESifo Working Paper No. 7612
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
option-implied volatility
ARCH-type models
mixed strategies
JEL: 
C22
G12
Dokumentart: 
Working Paper
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