Testing the predictive ability of corridor implied volatility under GARCH models

DOI10.1007/S10690-018-9262-5zbMATH Open1418.62509OpenAlexW2901698603MaRDI QIDQ2419785FDOQ2419785

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

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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)

Cites Work

• Title not available (Why is that?)
• Bootstrap methods: another look at the jackknife
• Title not available (Why is that?)
• The Stationary Bootstrap
• A Reality Check for Data Snooping
• Asymptotic Inference about Predictive Ability
• Volatility forecast comparison using imperfect volatility proxies
• 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

Uses Software

• bootstrap

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