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.
Author(s):
Professor of Finance, COPPEAD Graduate School of Business
Research Associate of EDHEC-Risk Institute
COPPEAD Graduate School of Business
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.
| Type: | Working paper |
|---|---|
| Date: | le 01/09/2016 |
| Research Cluster : | Finance |
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