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Predicting stock market volatility: A new measure · Study

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ArticlePredicting stock market volatility: A new measure

Jeff Fleming1995

Article1995

Predicting stock market volatility: A new measure

Jeff Fleming · Barbara Ostdiek · Robert E. Whaley

538 citations·0/0 files stored·Journal of Futures Markets

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1973The Pricing of Options and Corporate Liabilities 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1973Theory of Rational Option Pricing 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 2005Theory of rational option pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1973An Intertemporal Capital Asset Pricing Model

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Year1995

Typearticle

Published1995-05-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations538

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1002/fut.3990150303

openalex_workW2002497463

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Cited by

2010Parametric and Nonparametric Volatility Measurement 2003The dynamics of stochastic volatility: evidence from underlying and options markets 1998The quality of market volatility forecasts implied by S&P 100 index option prices 2008Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models 2004Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models 2004Deviance Information Criterion for Comparing Stochastic Volatility Models 2014The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship 2013Modeling and predicting the CBOE market volatility index