Research and publications

Term Structure Analysis Of Option Implied Volatility In The Brazilian Market Using A Continuous-Time GARCH Model

This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modelling of the asset's volatility, from which the term structure is derived. We not o ...

Author(s):

Carlos Heitor Campani, Carlos Eduardo Fucci

Summary:

This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modelling of the asset's volatility, from which the term structure is derived. We not only test if the model is able to predict future levels of volatility, but also if it can accommodate the term structure response to volatility shocks.

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Type :	Working paper
Date :	06/02/2016
Keywords :	Volatility

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