Stock index volatility: evidence for stock index options in Taiwan

被引：0

作者：

Lin, Chin-Tsai ^{[1
]}

Yeh, Hsin-Yi ^{[1
]}

机构：

[1] Ming Chung Univ, Grad Sch Management, Taipei 11103, Taiwan

来源：

JOURNAL OF INFORMATION & OPTIMIZATION SCIENCES | 2008年 / 29卷 / 03期

关键词：

Volatility; EGARCH; GJR-GARCH; stock index option; asymmetry;

D O I：

10.1080/02522667.2008.10699821

中图分类号：

G25 [图书馆学、图书馆事业]; G35 [情报学、情报工作];

学科分类号：

1205 ; 120501 ;

摘要：

This study applies artificial neural network to forecast Taiwan stock index option prices from 2005 to 2006. This study compares the option pricing model using three approaches to volatility: GARCH, EGARCH and GJR-GARCH, and compares estimators with three sets of criteria: RMSE, MAE and MAPE. The analytic results indicate that the asymmetric GARCH model is useful in predicting neural networks for stock index option prices.

引用

页码：557 / 567

页数：11

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