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Forecasting stock index volatility

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  • Riccardo Bramante
  • Santamaria Luigi

Abstract

Accurate volatility forecasting is the key to successful risk analysis. In fact, volatility forecasts lie at the centre of many financial systems, such as value at risk modelling and pricing of derivative securities. This paper is concerned with how to construct stock index volatility predictors using the returns histories of the stocks that define the Index. Specifically, our approach presupposes that the total volatility of the index returns can be explained by the volatility of the related components. Copyright © 2001 John Wiley & Sons, Ltd.

Suggested Citation

  • Riccardo Bramante & Santamaria Luigi, 2001. "Forecasting stock index volatility," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 17(1), pages 19-26, January.
    • Handle: RePEc:wly:apsmbi:v:17:y:2001:i:1:p:19-26
    DOI: 10.1002/asmb.423
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    Cited by:

    1. Hassan Tanha & Michael Dempsey, 2016. "The Information Content of ASX SPI 200 Implied Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
    2. Hao Wu & Haiming Long & Yue Wang & Yanqi Wang, 2021. "Stock index forecasting: A new fuzzy time series forecasting method," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 653-666, July.

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