The shifted GARCH model with affine variance: Applications in pricing

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-11-07 DOI:10.1016/j.frl.2024.106371

Marcos Escobar-Anel , Yangyang Hou , Lars Stentoft

引用次数: 0

Abstract

This paper introduces a modification to the affine GARCH model of Heston and Nandi (2000). The new model is designed to allow for a non-zero lower bound for the variance achieved by adding two parameters to the existing model. The affine structure of the moment-generating function is preserved at the level of variance, while an approximation is studied for log prices. The construction resembles the shifted continuous-time Heston (1993) model. Maximum likelihood estimation is performed on real data, and the model is shown to improve the fitting of the implied volatility surface, particularly for deep out-of-the-money options.

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具有仿方差的移位 GARCH 模型：定价应用

本文对 Heston 和 Nandi（2000 年）的仿 GARCH 模型进行了修改。新模型的设计目的是在现有模型的基础上增加两个参数，从而实现方差的非零下限。矩生成函数的仿射结构在方差水平上得以保留，同时研究了对数价格的近似值。该结构类似于移位连续时间赫斯顿（1993 年）模型。对真实数据进行了最大似然估计，结果表明该模型改善了隐含波动率曲面的拟合，尤其是对于深度价外期权。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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