A comparison of Risk Neutral Historic Distribution -, E-GARCH - and GJR-GARCH model generated volatility skews for BRICS Securities Exchange indexes

被引：4

作者：

Labuschagne, Coenraad C. A. ^{[1
]}

Venter, Pierre ^{[1
]}

von Boetticher, Sven T. ^{[1
]}

机构：

[1] Univ Johannesburg, Dept Finance & Investment Management, Programme Quantitat Finance, POB 524,Aucklandpk, ZA-2006 Johannesburg, South Africa

来源：

INTERNATIONAL CONFERENCE ON APPLIED ECONOMICS (ICOAE) 2015 | 2015年 / 24卷

关键词：

Borsa; 100; index; BRICS; CSI; 300; E-GARCH model; FTSE/[!text type='JS']JS[!/text]E Top 40; GJR-GARCH model; IBrX; INDEXCF; !text type='JS']JS[!/text]E; option pricing; securities exchange; S&P BSE SENSEX; volatility skew;

D O I：

10.1016/S2212-5671(15)00676-0

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper addresses a question that was raised at the ICOAE 2014, 3-5 July, Chania, Island of Crete, Greece: how do the volatility skews for the BRICS countries generated by the Risk Neutral Historic Distribution model compare to those generated by using GARCH models? More precisely, in this paper a comparison is made between the volatility skews of the BRICS countries generated by using the RNHD model and those generated by using E-GARCH and GJR-GARCH models. The effect of different interest rates on the implied volatility skews of European call options is also considered. (C) 2015 The Authors. Published by Elsevier B.V.

引用

页码：344 / 352

页数：9

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