Testing the predictive ability of corridor implied volatility under GARCH models

DOI10.1007/S10690-018-9262-5MaRDI QIDQ2419785zbMATH OpenOpenAlexFDO

Authors Shan Lu

Publication date 4 June 2019

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10454/16912

zbMATH Keywords

GARCH modelsmodel-free implied volatilityBlack-Scholes implied volatilitycorridor implied volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A Reality Check for Data Snooping
• Asymptotic Inference about Predictive Ability
• Bootstrap methods: another look at the jackknife
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
• Pricing and hedging long-term options
• The Stationary Bootstrap
• Volatility forecast comparison using imperfect volatility proxies

Describes a project that uses

Uses Software

• bootstrap

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