Predicting the Volatility of Stock Prices Using ARCH Models, with UK Examples
Stephen J. Taylor
(Department of Accounting and Finance, The Management School, Lancaster University, England, LA1 4YX)
325
Abstract
ARCH models can be used to predict volatility and to enhance option pricing methodologies. A guide to these models is provided and illustrative results are presented for the prices of Shell stock traded in London.
Citation
Taylor, S.J. (1994), "Predicting the Volatility of Stock Prices Using ARCH Models, with UK Examples", Managerial Finance, Vol. 20 No. 2, pp. 102-117. https://doi.org/10.1108/eb018466
Publisher
:MCB UP Ltd
Copyright © 1994, MCB UP Limited