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Forecasting Volatility and Option Prices of the S&P 500 Index · Study

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ArticleForecasting Volatility and Option Prices of the S&P 500 Index

Jaesun Noh1994

Article1994

Forecasting Volatility and Option Prices of the S&P 500 Index

Jaesun Noh · Robert F. Engle · Alex A. Kane

153 citations·0/0 files stored·The Journal of Derivatives

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1987Expected stock returns and volatility 1987The Pricing of Options on Assets with Stochastic Volatilities 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1992No news is good news

Cited by

2000Full Bayesian Inference for GARCH and EGARCH Models 1995Implied Volatility 2001Financial volatility trading using recurrent neural networks 2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface*2013Marginal likelihood for Markov-switching and change-point GARCH models 1998How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market

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Year1994

Typearticle

Published1994-08-31

VenueThe Journal of Derivatives

ISSN-L1074-1240

Languageen

Citations153

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.3905/jod.1994.407901

openalex_workW2013900972

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1996Volatility estimation for stock index options: A GARCH approach

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