Kanniainen, Juho; Lin, Binghuan; Yang, Hanxue - In: Journal of Banking & Finance 43 (2014) C, pp. 200-211
This paper uses information on VIX to improve the empirical performance of GARCH models for pricing options on the S&P 500. In pricing multiple cross-sections of options, the models’ performance can clearly be improved by extracting daily spot volatilities from the series of VIX rather than by...