Can we predict future volatility on the OMXS 30? : A quantative study on historical and implied volatility

University essay from Umeå universitet/Nationalekonomi

Author: Martin Hallberg; [2020]

Keywords: ;

Abstract: When making investment decisions risk is a highly important aspect to account for. Many studies have investigated how to measure risk and forecast it for an investment decision. This study takes a closer look at what forecast method is best on the Swedish index OMX Stockholm 30. During the period from January 2016 to December 2018. The models examined are GARCH, EGARCH and Black-Scholes (implied volatility). The result indicates that EGARCH is best at forecasting proxies for the index volatility. All models follow the realized volatility proxies fairly well, but implied volatility constantly overestimates the volatility. This is consistent with previous research.

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