Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices
Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices
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DOI：
10.2139/ssrn.926373
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发表时间：
2007-07
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影响因子：
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通讯作者：
Peter F. Christoffersen;Kris Jacobs;Karim Mimouni
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文献类型：
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作者：
Peter F. Christoffersen;Kris Jacobs;Karim Mimouni
最近的经验期权估值研究建立在仿射平方根（SQR）随机波动率模型。SQR模型是一个方便的选择，因为它产生期权价格的封闭形式的解决方案。我们调查替代SQR模型，通过比较其经验表现与五个不同的，但同样吝啬的随机波动率模型。我们从三个不同的来源提供了经验证据：已实现的波动率，标准普尔500指数的回报，以及广泛的面板的选项数据。这三个数据来源都指向同一个结论：最好的波动率规格是一个线性而不是平方根扩散的方差。该模型捕捉到了已实现波动率中的程式化事实，对指数收益率的各种样本拟合效果良好，样本内外期权隐含波动率均方误差最小。作者2010。由牛津大学出版社代表金融研究学会出版。All rights reserved.如欲查询，请电邮至：journals.permissions@oxfordjournals.org。北京：清华大学出版社.
Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. We investigate alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources: realized volatilities, S&P500 returns, and an extensive panel of option data. The three sources of data all point to the same conclusion: the best volatility specification is one with linear rather than square root diffusion for variance. This model captures the stylized facts in realized volatilities, it performs well in fitting various samples of index returns, andit has the lowest option implied volatility mean squared error in and out of sample. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.