VIX forecast under different volatility specifications

DOI10.1007/S10690-017-9227-0MaRDI QIDQ1627811zbMATH OpenOpenAlexWikidataFDO

Authors Ying Wang, Hoi Ying Wong

Publication date 3 December 2018

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

Full work available at URL https://doi.org/10.1007/s10690-017-9227-0

zbMATH Keywords

forecastGARCHstochastic volatilityVIXcontinuous SVDSARV

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Analysis of time series subject to changes in regime
• BUGS for a Bayesian analysis of stochastic volatility models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistent modeling of S\&P 500 and VIX derivatives
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Generalized autoregressive conditional heteroscedasticity
• Likelihood analysis of non-Gaussian measurement time series
• Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances
• On leverage in a stochastic volatility model
• THE GARCH OPTION PRICING MODEL
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(1)

• Volatility Forecasts and Value at Risk Evaluation for the MSCI North America Index

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