✦ LIBER ✦

A test of two models in forecasting stock index futures price volatility

✍ Scribed by W. L. Randolph; Mohammad Najand

Publisher: John Wiley and Sons
Year: 1991
Tongue: English
Weight: 751 KB
Volume: 11
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990110205

No coin nor oath required. For personal study only.

✦ Synopsis

is one of the first researchers to point out the changing nature of stock market volatility. Wiggins (1987) and Hull and White (1987) have developed option models that provide for a stochastic variance input.

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any empirical studies of daily returns on common stocks and other financial M assets in United States markets have reported daily. patterns that are seemingly inexplicable (Cross, 1973, French, 1980, Gibbons and Hess, 1981 and Keim and Stambaugh, 1984). Recently, Jaffe and Westerfield (1985) report