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On GARCH and Autoregressive Stochastic Volatility Approaches for Market Calibration and Option Pricing

In this paper, we carry out a comprehensive comparison of Gaussian generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive stochastic volatility (ARSV) models for volatility forecasting using the S&P 500 Index. In particular, we investigate their performance using the ph...

Deskribapen osoa

Gorde:
Egile Nagusiak: Tao Pang, Yang Zhao
Formatua: Artigo
Hizkuntza:Inglês
Argitaratua: MDPI AG 2025-02-01
Saila:Risks
Gaiak:
GARCH
ARSV
physical measure
risk-neutral measure
particle filter
in-sample fitting
Sarrera elektronikoa:https://www.mdpi.com/2227-9091/13/2/31
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