Volatility analysis for the GARCH-Itô model with option data

DOI10.1002/cjs.11746MaRDI QIDQ6490397

Zhiyuan Zhang, Xiangyu Cui, Huiling Yuan, Yong Zhou

Publication date: 23 April 2024

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

forecasting poweroption-implied volatilityhigh-frequency historical datalow-frequency historical dataquasimaximum likelihood estimators

Mathematics Subject Classification ID

Statistics (62-XX)

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