Testing the predictive ability of corridor implied volatility under GARCH models

Testing the predictive ability of corridor implied volatility under GARCH models

Yes === This paper studies the predictive ability of corridor implied volatility (CIV) measure. It is motivated by the fact that CIV is measured with better precision and reliability than the model-free implied volatility due to the lack of liquid options in the tails of the risk-neutral distributio...

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Bibliographic Details
Main Author: Lu, Shan
Language:en
Published: 2019
Subjects:
Corridor implied volatility
GARCH models
Model-free implied volatility
Black-Scholes implied volatility
Online Access:http://hdl.handle.net/10454/16912

Internet

http://hdl.handle.net/10454/16912

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