VIX forecasting and variance risk premium : a new GARCH approach
Qiang Liu, Shuxin Guo, Gaoxiu Qiao
| Year of publication: |
November 2015
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|---|---|
| Authors: | Liu, Qiang ; Guo, Shuxin ; Qiao, Gaoxiu |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 34.2015, p. 314-322
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| Subject: | Out-of-sample one-day VIX forecasting | Variance risk premium | GARCH(1,1) | GJR GARCH | Heston-Nandi GARCH | ARCH-Modell | ARCH model | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Volatilität | Volatility | Optionsgeschäft | Option trading | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2015.10.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011540131