Forecasting VIX using realized EGARCH model with dynamic jumps-Reference-Cited by-同舟云学术

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Forecasting VIX using realized EGARCH model with dynamic jumps

Published:2024-01-31 Issue: Volume: Page:1-12
ISSN:1350-4851
Container-title:Applied Economics Letters
language:en
Short-container-title:Applied Economics Letters

Author:

Wu Xinyu¹,Pu Junlin¹,Wang Yuyao¹

Affiliation:

1. School of Finance, Anhui University of Finance and Economics, Bengbu, China

Funder

National Natural Science Foundation of China

Natural Science Foundation of Anhui Province

Innovative Research Project for Graduates of Anhui University of Finance and Economics

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/13504851.2024.2308565

Reference18 articles.

1. The Distribution of Realized Exchange Rate Volatility

2. Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures

3. Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices

4. Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options

5. Exponential GARCH Modeling With Realized Measures of Volatility

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