在即期方差中，方差互换率是仿射的吗?标准普尔500指数数据的证据

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2020-04-05 DOI:10.2139/ssrn.3571429

M. Mancino, Simone Scotti, Giacomo Toscano

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引用次数: 3

摘要

摘要本文实证研究了方差互换率与即期方差之间的功能联系。利用2006-2018年期间的标准普尔500指数数据，我们发现压倒性的经验证据支持指数仿射随机波动模型所隐含的仿射联系。对年度子样本的测试表明，指数均值回归方差模型在极端波动期间提供了很好的拟合，而多项式模型适用于以更频繁的价格跳跃为特征的年份。

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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Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data

ABSTRACT We empirically investigate the functional link between the variance swap rate and the spot variance. Using S&P500 data over the period 2006–2018, we find overwhelming empirical evidence supporting the affine link implied by exponential affine stochastic volatility models. Tests on yearly subsamples suggest that exponential mean-reverting variance models provide a good fit during periods of extreme volatility, while polynomial modelsare suited for years characterized by more frequent price jumps.

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.