Modeling and Forecasting the Implied Volatility of the WIG20 Index

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Date

2007

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Uniwersytet Łódzki

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Abstract

The implied volatility is one of the most important notions in the financial market. It informs about the volatility forecasted by the participans of the market. In this paper we calculate the daily implied volatility from options on the WIG20 index. First we test the long memory property of the time series obtained in such a way, and then we model and forcast it as ARFIMA process

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Keywords

implied volatility, GARCH, ARFIMA, forecasting

Citation

Buszkowska, E., Płuciennik, P., Modeling and Forecasting the Implied Volatility of the WIG20 Index. Proceedings of Thirty Third International Conference Macromodels 2006, Łódź 2007.

ISBN

978-83-924305-4-4

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Uniwersytet im. Adama Mickiewicza w Poznaniu
Biblioteka Uniwersytetu im. Adama Mickiewicza w Poznaniu
Ministerstwo Nauki i Szkolnictwa Wyższego