A Comparison of the Standardized Prediction Error Criterion with Other ARCH Model Selection Criteria

Technical Report no 205, March 2004

14 Pages Posted: 8 Jul 2016

See all articles by Evdokia Xekalaki

Evdokia Xekalaki

Athens University of Economics and Business

Stavros Antonios Degiannakis

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

Date Written: 2004

Abstract

In this report, two important issues that arise in the evaluation of the standardized prediction error criterion (SPEC) model selection method are investigated in the context of a simulated options market. The first refers to the question of whether the performance of the SPEC algorithm is sensitive to the size of the sample used and the second to that of how the SPEC algorithm compares with other methods of model selection that measure the accuracy of the ARCH models to forecast the realized intra-day volatility.

Keywords: ARCH models, Forecast Volatility, Model selection, Option Pricing, Predictability, Standardized Prediction Error Criterion

Suggested Citation

Xekalaki, Evdokia and Degiannakis, Stavros Antonios, A Comparison of the Standardized Prediction Error Criterion with Other ARCH Model Selection Criteria (2004). Technical Report no 205, March 2004, Available at SSRN: https://ssrn.com/abstract=2804961 or http://dx.doi.org/10.2139/ssrn.2804961

Evdokia Xekalaki (Contact Author)

Athens University of Economics and Business ( email )

76 Patission Street
GR-10434 Athens
Greece

Stavros Antonios Degiannakis

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

136 Sygrou
Athens
Greece

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