Testing the predictive ability of corridor implied volatility under GARCH models (Q2419785)
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scientific article; zbMATH DE number 7062251
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| English | Testing the predictive ability of corridor implied volatility under GARCH models |
scientific article; zbMATH DE number 7062251 |
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Testing the predictive ability of corridor implied volatility under GARCH models (English)
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4 June 2019
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corridor implied volatility
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GARCH models
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model-free implied volatility
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Black-Scholes implied volatility
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0.7130247950553894
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0.6970117688179016
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0.6915493011474609
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0.6900699734687805
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0.6852484345436096
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