A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices

被引：33

作者：

Shackleton, Mark B. ^{[1
]}

Taylor, Stephen J. ^{[1
]}

Yu, Peng ^{[2
]}

机构：

[1] Univ Lancaster, Dept Accounting & Finance, Lancaster LA1 4YW, England

[2] HSBC Bank, London, England

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 11期

关键词：

ARCH models; Density forecasts; Index options; Risk-neutral densities; Risk-transformations; MAXIMUM-LIKELIHOOD-ESTIMATION; STOCHASTIC VOLATILITY; IMPLIED VOLATILITY; RISK-AVERSION; JUMP; CALIBRATION; SPECIFICATION; INFORMATION; DYNAMICS; MODELS;

D O I：

10.1016/j.jbankfin.2010.05.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We compare density forecasts of the S&P 500 index from 1991 to 2004, obtained from option prices and daily and 5-min index returns. Risk-neutral densities are given by using option prices to estimate diffusion and jump-diffusion processes which incorporate stochastic volatility. Three transformations are then used to obtain real-world densities. These densities are compared with historical densities defined by ARCH models. For horizons of two and four weeks the best forecasts are obtained from risk-transformations of the risk-neutral densities, while the historical forecasts are superior for the one-day horizon; our ranking criterion is the out-of-sample likelihood of observed index levels. Mixtures of the real-world and historical densities have higher likelihoods than both components for short forecast horizons. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：2678 / 2693

页数：16

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