Implied Volatility Prediction Based on Different Term Structures: An Empirical Study of the SSE 50 ETF Options Market from High-Frequency Data

Wenqi Yang; Jingkun Ma

doi:10.1051/e3sconf/202123502043

All issues

Volume 235 (2021)

E3S Web Conf., 235 (2021) 02043

References

Open Access

Issue		E3S Web Conf. Volume 235, 2021 2020 International Conference on New Energy Technology and Industrial Development (NETID 2020)


Article Number		02043
Number of page(s)		5
Section		Industrial Technology Development and Industrial Structure Adjustment and Upgrading
DOI		https://doi.org/10.1051/e3sconf/202123502043
Published online		03 February 2021

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[1] French K R, Schwert G W, Stambaugh R F. Expected Stock Returns and Volatility[J]. Journal of Financial Economics, 1987, Vol.19, No. 1, pp. 3–29. [Google Scholar]

[2] Hui Xiaofeng, Liu Hongsheng, Hu Wei, He Danqing. Prediction of RMB exchange rate based on time series GARCH model [J]. Finance Research, 2003(05): 99105. [Google Scholar]

[3] Efimova O, Serletis A. Energy Markets Volatility Modelling using GARCH[J]. Energy Economics, 2014, 264-273. [Google Scholar]

[4] Andersen T G, Bollerslev T. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts[J]. International Economic Review, 2001, 39(4):885–905. [Google Scholar]

[5] Black F, Scholes M S. The Pricing of Options and Corporate Liabilities[J]. Journal of Political Economy, 1973, 81(3), 637-654. [Google Scholar]

[6] Christoffersen P F, Jacobs K. The Importance of the Loss Function in Option Pricing[J]. Journal of Financial Economics, 2004, 72, 291–318. [Google Scholar]

[7] Godbey J M, Mahar J W. Forecasting Power of Implied Volatility: Evidence from Individual Equities[J]. B Quest, 2007, University of West Georgia. [Google Scholar]

[8] Moriggia V, Muzzioli S, Torricelli C. Call and Put Implied Volatilities and the Derivation of Option Implied Trees[J]. Front. Finan. Econ, 2007, 4, 35–64. [Google Scholar]

[9] Newey, West. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix [J]. Econometrica, 1987, 55(3):703-708. [Google Scholar]