Predicting the Volatility of Stock Prices Using ARCH Models, with UK Examples

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