Tag Archives: S&P500 Index

Range-Based EGARCH Option Pricing Models (REGARCH)

The research in this post and the related paper on Range Based EGARCH Option pricing Models is focused on the innovative range-based volatility models introduced in Alizadeh, Brandt, and Diebold (2002) (hereafter ABD).¬† We develop new option pricing models using … Continue reading

Posted in Financial Engineering, Forecasting, Long Memory, Multifactor Models, Options, REGARCH, S&P500 Index, Volatility Modeling | Tagged , , , | Comments Off

On Testing Direction Prediction Accuracy

As regards the question of forecasting accuracy discussed in the paper on Forecasting Volatility in the S&P 500 Index, there are two possible misunderstandings here that need to be cleared up.¬† These arise from remarks by one commentator¬† as follows: … Continue reading

Posted in Direction Prediction, Forecasting, Modeling, Options, S&P500 Index, Volatility Modeling, volatility sign prediction forecasting Engle | Tagged , , , , , , , | Comments Off

Market Timing in the S&P 500 Index Using Volatility Forecasts

To illustrate some of the possibilities of this approach, we constructed a simple market timing strategy in which a position was taken in the S&P 500 index or in 90-Day T-Bills, depending on an ex-ante forecast of positive returns from the logit regression model (and using an expanding window to estimate the drift coefficient). We assume that the position is held for 30 days and rebalanced at the end of each period. In this test we make no allowance for market impact, or transaction costs.
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Posted in Binary Options, Forecasting, Logit Regression, Market Timing, S&P500 Index, Volatility Modeling, volatility sign prediction forecasting Engle | Tagged , , , , , , , , | Comments Off