Show simple item record

dc.contributor.authorOldfield, John Ken_NZ
dc.identifier.citationOldfield, J. K. (2003, August 25). Forecasting volatility in New Zealand bank bill futures (Thesis). Retrieved from
dc.description.abstractThis paper compares volatility forecasts of four competing models based on historical data against implied volatility forecasts using New Zealand bank bill futures prices. Model forecasts are evaluated out of sample using mean absolute error and root mean square error and are tested for bias using regression techniques. GARCH was found to forecast volatility most accurately over 30-day and 60-day forecast periods; however, each of the five models gave similar errors over 90-day and 180-day forecast periods. Implied volatility forecasts gave the coefficient of determination for each period but systematically over forecasted volatility in all periods. When systematic bias was removed, the errors associated with this model fell below that of the GARCH model.en_NZ
dc.subjectvolatility forecasten_NZ
dc.subjectimplied volatility forecastsen_NZ
dc.subjectNew Zealand bank bill futures pricesen_NZ
dc.subjectModel forecastsen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleForecasting volatility in New Zealand bank bill futuresen_NZ
otago.schoolFinanceen_NZ of Otagoen_NZ Thesesen_NZ
otago.openaccessAbstract Only
dc.identifier.eprints647en_NZ & Quantitative Analysisen_NZ
dc.description.referencesAnderson, Torben G. and Tim Bollerslev, 1998, Answering the sceptics: Yes, standard volatility models do provide accurate volatility forecasts, International Economic Review 39, 885-905. Asay, Michael R., 1982, A note on the design of commodity option contracts, Journal of Futures Markets 3, 225-338. Bakshi, Gurdip, Charles Cao and Zhiwu Chen, 1997, Empirical performance of alternative option pricing models, Journal of Finance 52, 2003-2049. Bhanot, Karan, 1998, Stochastic volatility functions implicit in Eurodollar futures options, Journal of Futures Markets 18, 605-627. Black, Fischer, 1975, The pricing of commodity contracts, Journal of Financial Economics 3, 167-179. Black, Fischer and Myron S. Scholes, 1972, The pricing of options and corporate liabilities, Journal of Political Economy 83, 13-29. Bodie, Zvi and Robert C. Merton, 1995, The information role of asset prices: The case of implied volatility, Working paper, Harvard Business School. Bollerslev, Tim, 1986, Generalized autoregressive conditional heteroskedasticity, 1986, Journal of Econometrics 31, 307-327. Bollerslev, Tim, Ray Chou and Kenneth Kroner, 1992, ARCH modelling in finance: A review of the theory and empirical evidence, Journal of Econometrics 52, 5- 59. Bollerslev, Tim and Robert F. Engle, 1993, Common persistence in conditional variances, Econometrica 61, 167-186. Brennan, Michael J. and Eduardo S. Schwartz, 1977, Savings bonds, retractable bonds, callable bonds, Journal of Financial Economics 3, 133-155. Brennan, Michael J. and Eduardo S. Schwartz, 1980, Analyzing convertible bonds, Journal of Financial and Quantitative Analysis 17, 75-100. Chan, K.C., G. Andrew Karolyi, Francis A. Longstaff and Anthony B. Sanders, 1992, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance 47, 1209-1227. Chiras, Donald P. and Stephen Manaster, 1978, The information content of option prices and a test of market efficiency, Journal of Financial Economics 6, 213- 234. Christie, Andrew A., 1982, The stochastic behaviour of common stock variances: Value, leverage and interest rate effects, Journal of Financial Economics 10, 407-432. Cox, John C., Jonathan E. Ingersoll and Stephen A. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-407. Dahlquist, Magnus, 1996, On alternative interest rate processes, Journal of Banking and Finance 20, 1093-1119. Dahlquist, Magnus and Stephen F. Gray, 2000, Regime-switching and interest rates in the European monetary system, Journal of International Economics 50, 399- 419. Day, Theodore E. and Craig M. Lewis, 1992, Stock market volatility and the information content of stock index options, Journal of Econometrics 52, 267- 287. Ederington, Louis H. and Wei Guan, 1999, Forecasting volatility, Working paper, University of Oklahoma. Ederington, Louis H. and Jae H. Lee, 2000, Intraday volatility in interest-rate and foreign-exchange markets: ARCH, announcements, and seasonality effects, Journal of Futures Markets 21, 517-552. Engle, Robert F., 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50, 987-1007. Engle, Robert F., Victor Ng and Michael Rothschild, 1990, Asset prices with a factor- ARCH covariance structure: Empirical estimates for Treasury Bills, Journal of Econometrics and Statistics 71, 325-332. Engle, Robert F., Ted Hong and Alex Kane, 1990, Valuation of variance forecasts with simulated options markets, Working paper, University of California. Engle, Robert F. and Chowdhury Mustafa, 1992, Implied ARCH models from option prices, Journal of Econometrics 52, 289-311. Engle, Robert F. and Victor Ng, 1993, Measuring and testing the impact of news on volatility, Journal of Finance 48, 1749-1778. Engle, Robert F. and Andrew J. Patton, 2001, What good is a volatility model?, Working paper, University of California. Fama, Eugene F., 1965, The behaviour of stock-market prices, Journal of Business 38, 34-105. Figlewski, Stephen, 1997, Forecasting volatility, Financial Markets, Institutions and Investments 6, 1-88. French, Kenneth R., G. William Schwert and Robert Stambaugh, 1987, Expected stock returns and volatility, Journal of Financial Economics 19, 3-30. Fung, W.K.H. and D.A. Hsieh, 1991, Empirical analysis of implied volatility: Stocks, bonds and currencies, Working paper, Duke University. Hawkesby, Christian, 1999, A primer on derivatives markets, Reserve Bank of New Zealand: Bulletin 62, 24-43. Heston, Steven L., 1993, A closed form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies 6, 333-343. Higgins, Mathew L. and Anil K. Bera, 1992, A class of nonlinear ARCH models, International Economic Review 33, 137-158. Hsieh, David A. and Louis Manas-Anton 1988, Empirical regularities in the Deutsch mark futures options, Working paper, University of Chicago. Hull, John, 2000, Options, futures & other derivatives, 4th Edition, Prentice-Hall, New Jersey. Hull, John and Alan White, 1987, The pricing of options on assets with stochastic volatilities, Journal of Finance 42, 281-300. James, Jessica, 2003, Defining forex option value, Risk 16, 44-46. Jones, Charles M., Owen Lamont and Robin L. Lumsdaine, 1998, Macroeconomic new and bond market volatility, Journal of Financial Economics 47, 315-337. Jorion, Philippe, 1988, On jump processes in the foreign exchange and stock markets, Review of financial studies 1, 427-445. Longstaff, Francis A., 1989, A nonlinear general equilibrium of the term structure of interest rates, Journal of Financial Economics 23, 195-224. Mandelbrot, Benoit B., 1963, The variation of certain speculative prices, Journal of Business 36, 394-419. Merton, Robert C., 1973, Theory of rational option pricing, Bell Journal of Economics and Management Science 4, 141-183. Merton, Robert C., 1976, Option pricing when the underlying stock returns are discontinuous, Journal of Financial Economics 4,125-144. Merton, Robert C., 1980, On estimating the expected return on the market, Journal of Financial Economics 8, 323-361. Nelson, Daniel B., 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59, 347-370. Poon, Ser-Huang, and Clive W.J. Granger, 2001, Forecasting volatility in financial markets: A review, Journal of Economic Literature 41, 478-539. Pong, Shiuyan, Mark Shackleton, Stephen J. Taylor and Xinzhong Xu, 2002, Forecasting Sterling/Dollar volatility: A comparison of implied volatilities and AR(FI)MA models, Working paper, Lancaster University. Poterba, James M. and Laurence H. Summers, 1986, The persistence of volatility and stock market fluctuations, American Economic Review 76, 1142-1151. Rae, David, 1997, Forecasting volatility, National Bank of New Zealand Research Paper 9, 1-12. Schwert, G. William, 1989, Why does stock market volatility change over time?, Journal of Finance 44, 1115-1153. Scott, Louis 0., 1987, Option pricing when the variance changes randomly: Theory estimators, and applications, Journal of Financial and Quantitative Analysis 22, 419-438. Stein, Elias M. and Jeremy C. Stein, 1991, Stock price distributions with stochastic volatility, Review of Financial Studies 4, 727-752. Vasicek, Oldrich, 1977, An equilibrium characterization of the term structure, Financial Economics 5, 177-188. Wiggins, James B., 1987, Option values under stochastic volatility: Theory and empirical estimates, Journal of Financial Economics 19, 351-372. Yue-Ning, Lin, Norman Strong and Xinzhong Xu, 2001, Pricing FTSE 100 index options under stochastic volatility, Journal of Futures Markets 3, 197-211.en_NZ
 Find in your library

Files in this item


There are no files associated with this item.

This item is not available in full-text via OUR Archive.

If you would like to read this item, please apply for an inter-library loan from the University of Otago via your local library.

If you are the author of this item, please contact us if you wish to discuss making the full text publicly available.

This item appears in the following Collection(s)

Show simple item record