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SPEC Model Selection Algorithm for ARCH Models

其他書名	An Options Pricing Evaluation Framework
出版	SSRN, 2016
URL	http://books.google.com.hk/books?id=qhL_zgEACAAJ&hl=&source=gbs_api

註釋A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki's (2005) poly-model standardized prediction error criterion (SPEC) algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that traders using the SPEC for deciding which model's forecasts to use at any given point in time achieve the highest profits.