Abstract In this paper we compare different volatility models with the use of AEX daily data on options in the period 2000-2013. The benchmark at which we compare different volatility models is the implied volatility. Implied volatility derives from information gathered in the market and theoretically it should therefore incorporate all the information available. We compare the implied volatility with historical volatility, AR, ARMA, ARCH, GARCH (1,1), EWMA, EGARCH, GJRGARCH. To evaluate the…
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