Unformatted text preview: VXN is the index of implied volatility from put and call options on the NASDAQ composite portfolio (available since 1995). Your assignment is to build an ARCH or GARCH model for volatility for both the S&P and NASDAQ portfolios. You should also compare the forecasts from the ARCH/GARCH model with the VIX and VXN data. Is there reason to believe that the options market uses information beyond historical stock returns to forecast future volatility? Why, or why not? [Note: since the goal of a forecasting model is to predict the future, it is up to you to decide how much, and which, data to use in your modeling exercise.]...
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- Spring '10
- Chicago Board Options Exchange, NASDAQ composite portfolio, William E. Simon Graduate School of Business Administration