Table 2.

Adjusting the forecasting period over 60 months of option quotations

Dates of option quotations over 61 monthsNo. of daily forecasted data with ARIMA (1, 1, 1)Dates of options quotations over 61 monthsNo. of daily forecasted data with ARIMA (1, 1, 1)
January 30, 2009750July 29, 2011645
February 27, 2009730August 31, 2011622
March 31, 2009708September 30, 2011600
April 30, 2009686October 31, 2011579
May 29, 2009665November 30, 2011557
June 30, 2009643December 30, 2011535
July 31, 2009620January 31, 2012513
August 31, 2009599February 29, 2012492
September 30, 2009577March 30, 2012470
October 30, 2009555April 30, 2012449
November 30, 2009534May 31, 2012426
December 31, 2009776June 29, 2012405
January 29, 2010755July 31, 2012408
February 26, 2010735August 31, 2012385
March 31, 2010712September 28, 2012365
April 30, 2010690October 31, 2012342
May 31, 2010669November 30, 2012320
June 30, 2010647December 31, 2012299
July 30, 2010625January 31, 2013508
August 31, 2010603February 28, 2013488
September 30, 2010581March 29, 2013467
October 29, 2010560April 30, 2013445
November 30, 2010538May 31, 2013422
December 31, 2010795June 28, 2013402
January 31, 2011774July 31, 2013379
February 28, 2011754August 30, 2013357
March 31, 2011731September 30, 2013442
April 29, 2011710October 31, 2013419
May 31, 2011688November 29, 2013398
June 30, 2011666December 31, 2013376
July 29, 2011645––
Source: Own elaboration
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