Pricing SPX and DIX by HAR models

Jou, Y.-J., Wang, C.-W. and Chiu, W.-C. (2010) Pricing SPX and DIX by HAR models. International Journal of Computational Science and Engineering, 5(1), p. 10. (doi: 10.1504/IJCSE.2010.030226)

Abstract

Previous studies have documented that, with use of high-frequency data, the Heteroskedasticity AR (HAR-RV) model performs better than other models in fitting financial return volatility measurement and has a more accurate forecasting ability. However, to our knowledge, no previous studies have investigated whether HAR-RV model can improve option pricing performance in financial markets. This study compares HAR-RV model and EGARCH model in terms of option pricing performance. As expected, the results of this study demonstrate that HAR-RV model is more accurate than EGARCH model in terms of S&P500 Index options (SPX) and Dow Jones Index options (DIX).

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Chiu, Dr Wan-Chien
• Authors: Jou, Y.-J., Wang, C.-W., and Chiu, W.-C.
• College/School: College of Social Sciences > Adam Smith Business School > Accounting and Finance
• Journal Name: International Journal of Computational Science and Engineering
• Publisher: Inderscience
• ISSN: 1742-7185
• ISSN (Online): 1742-7193