- Author
- Year
- 2008
- Title
- Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index
- Journal
- The European Journal of Finance
- Volume | Issue number
- 14 | 5
- Pages (from-to)
- 397-408
- Number of pages
- 12
- Document type
- Article
- Faculty
- Faculty of Economics and Business (FEB)
- Institute
- Amsterdam School of Economics Research Institute (ASE-RI)
- Abstract
-
In this paper we attempt to predict the direction of change of the S&P500 index over the period 8 April 1998 to 5 February 2002 by means of a recurrent neural network (RNN). We demonstrate that the incorporation in the trading rule of the Chicago Board Options Exchange (CBOE) volatility index changes strongly enhances its profitability during 'bear' market periods. This improvement is measured in comparison with a RNN including changes of estimated conditional volatility measures, a linear autoregressive model as well as to a buy-and-hold strategy. We suggest a number of theories that are consistent with our findings.
- URL
- go to publisher's site
- Language
- Undefined/Unknown
- Persistent Identifier
- https://hdl.handle.net/11245/1.294343
Disclaimer/Complaints regulations
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.