VIX forecast under different volatility specifications

DOI10.1007/S10690-017-9227-0zbMath1418.91548OpenAlexW2621679394WikidataQ58980650 ScholiaQ58980650MaRDI QIDQ1627811

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

forecaststochastic volatilityGARCHVIXcontinuous SVDSARV

Mathematics Subject Classification ID

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

Uses Software

• BUGS

Cites Work

• Unnamed Item
• On leverage in a stochastic volatility model
• 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
• Analysis of time series subject to changes in regime
• Generalized autoregressive conditional heteroscedasticity
• BUGS for a Bayesian analysis of stochastic volatility models
• THE GARCH OPTION PRICING MODEL
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Maximum Likelihood Estimation of Singular Equation Systems with Autoregressive Disturbances
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Likelihood analysis of non-Gaussian measurement time series
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: VIX forecast under different volatility specifications