Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures
نویسندگان
چکیده
Abstract In this article, we discuss the pricing performances of a large collection GARCH models by questioning global synergy between choice affine/nonaffine specification, use competing alternatives to Gaussian distribution, selection an appropriate kernel, and different estimation strategies based on several sets financial information. Furthermore, study answers important question in relation correlation performance scheme its ability forecast VIX dynamics. analysis clearly appears as parsimonious first-stage filter discard worst option models.
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2021
ISSN: ['1479-8409', '1479-8417']
DOI: https://doi.org/10.1093/jjfinec/nbaa042