Implied volatility forecast based on nonparametric regression model

DOI10.7631/ISSN.1000-2243.17084MaRDI QIDQ4688210zbMATH OpenFDO

Authors Xiuju Dai, Zhibiao Shu

Publication date 22 October 2018

Full work available at URL https://doi.org/10.7631/ISSN.1000-2243.17084

zbMATH Keywords

implied volatilityNadaraya-Watson nuclear estimatesnonparametric kernel regressionoptionsParzen window

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(6)

• Selecting the best forecasting-implied volatility model using genetic programming
• Modelling non-linear moving average processes using neural networks with error feedback: An application to implied volatility forecasting
• An inductive construction of regression models for the volatility of options trading
• Non-linear Principal Component Analysis of the Implied Volatility Smile using a Quantum-inspired Evolutionary Algorithm
• A Gaussian semi-parametric implied volatility model
• Implied volatility in oil markets

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