Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
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This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P 500 index volatility. Volatility models are compared by their ability to hedge options positions sensitive to the term
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美国国家经济研究局创建时间：
1994-12-01
