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):

Carlos Heitor Campani

Professor of Finance, COPPEAD Graduate School of Business
Research Associate of EDHEC-Risk Institute

Carlos Eduardo Fucci

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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