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The Economic Value of Predicting Stock Index Returns And Volatility (2000)
| Venue: | Journal of Financial and Quantitative Analysis |
| Citations: | 42 - 6 self |
BibTeX
@ARTICLE{Marquering00theeconomic,
author = {Wessel Marquering and Marno Verbeek and K. U. Leuven and K. U. Leuven},
title = {The Economic Value of Predicting Stock Index Returns And Volatility},
journal = {Journal of Financial and Quantitative Analysis},
year = {2000},
volume = {39},
pages = {407--429}
}
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Abstract
In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from 1954 to 1998, we test the statistical significance of return and volatility predictability and examine the economic value of a number of alternative trading strategies.
