Siddique, 1994 - Google Patents
What Volatilities Do Options Imply: Intraperiod or Close-To-Close?Siddique, 1994
- Document ID
- 17729495899979533906
- Author
- Siddique A
- Publication year
- Publication venue
- Available at SSRN 5794
External Links
Snippet
Stochastic implied volatilities from option prices and GARCH models are two ways of capturing the time variation of conditional variances. However, what volatilities they predict is still an unanswered question. This paper finds that implied volatilities obtained from …
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