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.
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 |
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Date: | le 01/09/2016 |
Research Cluster : | Finance |