An empirical comparison of continuous-time models of implied volatility indices
Dotsis, George, Psychoylos, Dimitris and Skiadopoulos, George. (2007) An empirical comparison of continuous-time models of implied volatility indices. Journal of Banking & Finance, Vol.31 (No.12). pp. 3584-3603. ISSN 0378-4266Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.jbankfin.2007.01.011
We explore the ability of alternative popular continuous-time diffusion and jump-diffusion processes to capture the dynamics of implied volatility indices over time. The performance of the various models is assessed under both econometric and financial metrics. To this end, data are employed from major European and American implied volatility indices and the rapidly growing CBOE volatility futures market. We find that the addition of jumps is necessary to capture the evolution of implied volatility indices under both rnetrics. Mean reversion is of second-order importance though. The results are consistent across the various metrics. markets, and construction methodologies. (C) 2007 Elsevier B.V. All rights reserved.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HC Economic History and Conditions
|Divisions:||Faculty of Social Sciences > Warwick Business School > Financial Options Research Centre|
|Journal or Publication Title:||Journal of Banking & Finance|
|Publisher:||Elsevier Science BV|
|Official Date:||December 2007|
|Number of Pages:||20|
|Page Range:||pp. 3584-3603|
|Access rights to Published version:||Restricted or Subscription Access|
Actions (login required)
Downloads per month over past year