SPEC Model Selection Algorithm for ARCH Models: An Options Pricing Evaluation Framework

(2008). Applied Financial Economics Letters, 4(6), 419-423

Posted: 5 Jul 2016

See all articles by Stavros Antonios Degiannakis

Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences

Evdokia Xekalaki

Athens University of Economics and Business

Date Written: 2008

Abstract

A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki’s (2005) poly-model standardized prediction error criterion (SPEC) algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that traders using the SPEC for deciding which model’s forecasts to use at any given point in time achieve the highest profits.

Suggested Citation

Degiannakis, Stavros Antonios and Xekalaki, Evdokia, SPEC Model Selection Algorithm for ARCH Models: An Options Pricing Evaluation Framework (2008). (2008). Applied Financial Economics Letters, 4(6), 419-423, Available at SSRN: https://ssrn.com/abstract=2804592

Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences ( email )

136 Sygrou
Athens
Greece

Evdokia Xekalaki (Contact Author)

Athens University of Economics and Business ( email )

76 Patission Street
GR-10434 Athens
Greece

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