方差风险溢价和波动率指数定价:一个简单的GARCH方法

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2015-01-10 DOI:10.2139/ssrn.2155993

Qiang Liu, Gaoxiu Qiao, Shuxin Guo

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引用次数: 0

摘要

本文在GARCH(1,1)、GJR和Heston-Nandi模型下评估方差风险溢价并预测样本外波动率。从标普指数的3500个日收益中，以移动窗口的方式估计了日期t GARCH参数，这些风险中性参数准确地预测了日期t VIX，平均误差不超过0.2%。

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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Variance Risk Premium and VIX Pricing: A Simple GARCH Approach

This paper assesses variance risk premium and forecasts out-of-sample VIX under GARCH(1,1), GJR, and Heston-Nandi models. With the date-t GARCH parameters estimated in a moving window fashion from 3,500 daily returns of the SP these risk-neutral parameters forecast the date-t VIX accurately with errors of not more than 0.2% on average.

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Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal

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