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- W612565559 abstract "This paper estimates a mixture multiplicative error model for the implied volatilities of call and put options on the Nikkei 225 index. Diagnostics show that the mixture multiplicative model is a good fit to the data. In an out-of-sample of two years, multiplicative models correctly predict the direction of change in implied volatility on close to 70 percent of trading days at best. The multiplicative structure also performs better than ARIMA models when forecasting five trading days ahead. An option trading simulation with Nikkei 225 index options points to the superiority of the multiplicative model over ARIMA models." @default.
- W612565559 created "2016-06-24" @default.
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- W612565559 date "2008-01-01" @default.
- W612565559 modified "2023-09-25" @default.
- W612565559 title "Multiplicative Models for Implied Volatility" @default.
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- W612565559 doi "https://doi.org/10.2139/ssrn.967254" @default.
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