Forecasting Volatility: Evidence From The Swiss Stock Market
(2010) NEKM03 20101Department of Economics
- Abstract (Swedish)
- This thesis focuses on the question whether the volatility index of the Swiss Market Index (VSMI) is an adequate predictor of the future realized volatility. Furthermore, the thesis searches for evidence of incremental information within the VSMI in relation to a set of model based forecasts (MBFs) which could describe future realized volatility. First a theoretical framework, corresponding to the used methodology, is presented. Then the VSMI is assessed in terms of error accuracy, predictive power as well as in-formation content in comparison to generally used models. Additionally, a generalized method of moments (GMM) optimization is used to investigate whether there is addi-tional information contained in the volatility index. The... (More)
- This thesis focuses on the question whether the volatility index of the Swiss Market Index (VSMI) is an adequate predictor of the future realized volatility. Furthermore, the thesis searches for evidence of incremental information within the VSMI in relation to a set of model based forecasts (MBFs) which could describe future realized volatility. First a theoretical framework, corresponding to the used methodology, is presented. Then the VSMI is assessed in terms of error accuracy, predictive power as well as in-formation content in comparison to generally used models. Additionally, a generalized method of moments (GMM) optimization is used to investigate whether there is addi-tional information contained in the volatility index. The results indicate that the VSMI is the best predictor for future volatility and there is evidence that this volatility index holds incremental information to the extent of information implied in the used set of MBFs. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1614750
- author
- Huber, Dennis Artur LU and Persson, Jacob LU
- supervisor
- organization
- course
- NEKM03 20101
- year
- 2010
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- volatility, implied volatility, SMI, VSMI, model based forecasts
- language
- English
- id
- 1614750
- date added to LUP
- 2010-06-16 10:41:51
- date last changed
- 2010-06-16 10:41:51
@misc{1614750, abstract = {{This thesis focuses on the question whether the volatility index of the Swiss Market Index (VSMI) is an adequate predictor of the future realized volatility. Furthermore, the thesis searches for evidence of incremental information within the VSMI in relation to a set of model based forecasts (MBFs) which could describe future realized volatility. First a theoretical framework, corresponding to the used methodology, is presented. Then the VSMI is assessed in terms of error accuracy, predictive power as well as in-formation content in comparison to generally used models. Additionally, a generalized method of moments (GMM) optimization is used to investigate whether there is addi-tional information contained in the volatility index. The results indicate that the VSMI is the best predictor for future volatility and there is evidence that this volatility index holds incremental information to the extent of information implied in the used set of MBFs.}}, author = {{Huber, Dennis Artur and Persson, Jacob}}, language = {{eng}}, note = {{Student Paper}}, title = {{Forecasting Volatility: Evidence From The Swiss Stock Market}}, year = {{2010}}, }