并非所有的 VIX 指数（信息）都相同：仿射 GARCH 期权定价模型的证据

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-09-05 DOI:10.1016/j.frl.2024.106053

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引用次数: 0

摘要

本文探讨了在以期权定价为目标的仿射 GARCH 模型估计中应使用哪种 VIX 期限。我们反复利用模型置信集方法，对不同动态模型中的最佳 VIX 进行了排序。我们的结果凸显了使用 VIX 进行估计的重要性，并表明使用适当的 VIX 可以将期权定价误差减少 38%。我们的结果还显示，1 年期的 VIX 最不适合使用，1 个月的 VIX 总体上最受欢迎，而 VIX 期限的选择主要与更灵活的模型有关。

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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Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models

This paper examines which VIX maturity to use in affine GARCH model estimation, when the objective is to do option pricing. Utilizing the Model Confidence Set approach repeatedly, we rank the best VIXs across different dynamic models. Our results highlight the importance of estimating with VIXs and show that with the appropriate VIX a reduction of up to 38% in option pricing errors can be obtained. Our results also show that the 1-year VIX is the worst to use, that the 1-month VIX is an overall favourite, and that the choice of VIX maturity matters mostly for more flexible models.

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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

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance