具有仿方差的移位 GARCH 模型：定价应用

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-11-07 DOI:10.1016/j.frl.2024.106371

Marcos Escobar-Anel , Yangyang Hou , Lars Stentoft

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引用次数: 0

摘要

本文对 Heston 和 Nandi（2000 年）的仿 GARCH 模型进行了修改。新模型的设计目的是在现有模型的基础上增加两个参数，从而实现方差的非零下限。矩生成函数的仿射结构在方差水平上得以保留，同时研究了对数价格的近似值。该结构类似于移位连续时间赫斯顿（1993 年）模型。对真实数据进行了最大似然估计，结果表明该模型改善了隐含波动率曲面的拟合，尤其是对于深度价外期权。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The shifted GARCH model with affine variance: Applications in pricing

This paper introduces a modification to the affine GARCH model of Heston and Nandi (2000). The new model is designed to allow for a non-zero lower bound for the variance achieved by adding two parameters to the existing model. The affine structure of the moment-generating function is preserved at the level of variance, while an approximation is studied for log prices. The construction resembles the shifted continuous-time Heston (1993) model. Maximum likelihood estimation is performed on real data, and the model is shown to improve the fitting of the implied volatility surface, particularly for deep out-of-the-money options.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance