急求!36论坛币悬赏一篇英文论文

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收藏 2010-09-26

悬赏 2 个论坛币已解决

因为悬赏的论坛币将被冻结，所以悬赏价格设为2个论坛币，上传论文者将论文自设34论坛币，我将以34论坛币的价格向您购买,并给予好评.非常感谢~
论文详细信息为:
题目:Stock market volatility and the information content of stock index options
作者信息:
Theodore E. Day
Craig M. Lewis
University of Texas at Dallas, Richardson, TX 75083-0688, USA
Vanderbilt University, Nashville, TN 37203, USA

文章摘要:
AbstractPrevious studies of the information content of the implied volatilities from the prices of call options have used a cross-sectional regression approach. This paper compares the information content of the implied volatilities from call options on the S&P 100 index to GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and Exponential GARCH models of conditional volatility. By adding the implied volatility to GARCH and EGARCH models as an exogenous variable, the within-sample incremental information content of implied volatilities can be examined using a likelihood ratio test of several nested models for conditional volatility. The out-of-sample predictive content of these models is also examined by regressing ex post volatility on the implied volatilities and the forecasts from GARCH and EGARCH models.