Forecasting Bitcoin Volatility Using Two-Component CARR Model

Estimating and Forecasting Volatility of the Stock Indices Using Conditional Autoregressive Range (carr) Model

This paper compares the forecasting performance of the conditional autoregressive range (CARR) model with the commonly adopted GARCH model. We examine two major stock indices, FTSE 100 and Nikkei 225, by using the daily range data and the daily close price data over the period 1990 to 2000. Our results suggest that improvements of the overall estimation are achieved when the CARR models are use...

Selecting the Best Forecasting-Implied Volatility Model Using Genetic Programming

The volatility is a crucial variable in option pricing and hedging strategies. The aim of this paper is to provide some initial evidence of the empirical relevance of genetic programming to volatility’s forecasting. By using real data from S&P500 index options, the genetic programming’s ability to forecast Black and Scholes-implied volatility is compared between time series samples and moneynes...

Forecasting Extreme Volatility of FTSE-100 With Model Free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) Option Implied Volatility Indices

Since its introduction in 2003, volatility indices such as the VIX based on the model-free implied volatility (MFIV) have become the industry standard for assessing equity market volatility. MFIV suffers from estimation bias which typically underestimates volatility during extreme market conditions due to sparse data for options traded at very high or very low strike prices, Jiang and Tian (200...

Forecasting Volatility

Estimating and Forecasting Volatility using Leverage Effect

This research provides a theoretical foundation for our previous empirical finding that leverage effect has a role in estimating and forecasting volatility. This empirics is also related to earlier econometric studies of news impact curves (Engle and Ng, Chen and Ghysels). Our new theoretical development is based on the concept of projection on stable subspaces of semimartingales. We show that ...