Artikel ; Online: Implied Volatility Prediction Based on Different Term Structures
E3S Web of Conferences, Vol 235, p
An Empirical Study of the SSE 50 ETF Options Market from High-Frequency Data
2021 Band 02043
Abstract: This article focuses on the implied volatility forecast of the SSE 50 ETF options market from June 1, 2017, to August 30, 2019, and constructs AR (1) model and ARMA-GARCH model based on liquidity characteristics to compare and analyze the prediction ... ...
Abstract | This article focuses on the implied volatility forecast of the SSE 50 ETF options market from June 1, 2017, to August 30, 2019, and constructs AR (1) model and ARMA-GARCH model based on liquidity characteristics to compare and analyze the prediction effect of implied volatility on different option types and term structures. The results show that, during the sample period of the SSE 50 ETF options market, the effect of model fitting of the ARMA-GARCH model is significantly better than the AR (1) model; the fitting sequences predicted by the two models have typical time-varying and synchronization characteristics, and the prediction effect of the ARMA-GARCH model in the whole period is significantly better than the AR (1) model. |
---|---|
Schlagwörter | Environmental sciences ; GE1-350 |
Sprache | Englisch |
Erscheinungsdatum | 2021-01-01T00:00:00Z |
Verlag | EDP Sciences |
Dokumenttyp | Artikel ; Online |
Datenquelle | BASE - Bielefeld Academic Search Engine (Lebenswissenschaftliche Auswahl) |
Volltext online
Zusatzmaterialien
Kategorien
Fernleihe an ZB MED
Sie können sich den gewünschten Titel als lokale Nutzerin oder lokaler Nutzer von ZB MED direkt an den Standort Köln schicken lassen.