Logo
Munich Personal RePEc Archive

Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL

Gozgor, Giray and Nokay, Pinar (2011): Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL. Published in: Journal of Money, Investment and Banking No. 19 (15 January 2011): pp. 130-142.

[thumbnail of MPRA_paper_34369.pdf]
Preview
PDF
MPRA_paper_34369.pdf

Download (163kB) | Preview

Abstract

By using the daily values of USD-TL and Euro-TL denominated European call and put option contracts, which are traded in the over-the-counter market, this study investigates whether there is a significant difference among the premiums of the contracts forecasted by historical volatility, EWMA(l =0.94 andl =0.97), GARCH(1,1) and EGARCH( p, q) models. In order to test the significance of the difference among particular volatility series forecasted by these different methods, test techniques suggested by Diebold and Mariano (1995) and West (1996) are used. Accordingly, the findings indicate that the differences in the pricing of the USD-TL and Euro-TL denominated call-put option contracts are statistically significant for some volatility forecasting methods.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.