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

See Also

THE FIGHT AGAINST SEXUAL AND GENDER-BASED VIOLENCE, A CORE COMPONENT OF THE START TO THE ACADEMIC YEAR FOR PRE-MASTER STUDENTS
News
- 20-09-2022
As part of the programme organised at the start of the academic year for EDHEC Business...
The EDHEC Global MBA ranked 14th in Europe in the Bloomberg Best B-School 2022-23 list
News
- 19-09-2022
The EDHEC Global MBA has been featured once again in the prestigious Bloomberg...
The new EDHEC PhD in Finance cohort ready to embrace challenges of doctoral studies
News
- 16-09-2022
A new cohort of 12 PhD executive  track participants and 2 residential track...
Green finance sector initiative for decarbonization: new paper out by Irene Monasterolo with The World Bank
News
- 15-09-2022
  Does greening the financial sector have real world impact? Green financial sector...