Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/78102
Authors: 
Claessen, Holger
Mittnik, Stefan
Year of Publication: 
2002
Series/Report no.: 
CFS Working Paper 2002/04
Abstract: 
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility. Employing German DAX-index return data it is found that past returns do not contain useful information beyond the volatility expectations already reflected in option prices. This supports the efficient market hypothesis for the DAX-index options market.
Subjects: 
market efficiency
implied volatility
GARCH
combined forecasting
JEL: 
G14
C22
C53
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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