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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/151233

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/151233

Title:	Extrapolation and option-implied kurtosis in volatility forecasting
Authors:	許永明 Shiu, Yung-Ming;Pan, Ging-Ginq;Wu, Tu-Cheng
Contributors:	風管系
Keywords:	Extrapolation;Risk-neutral skewness;Risk-neutral kurtosis;Volatility forecasting
Date:	2024-04
Issue Date:	2024-05-24 11:00:23 (UTC+8)
Abstract:	Prior studies have employed extrapolation to reduce truncation errors when computing risk-neutral moments. However, extrapolation may have a disadvantage in that it obscures the predictive power of risk-neutral skewness and kurtosis. Our out-of-sample results show that extrapolation does not enhance the predictive power of the volatility forecasting models when risk-neutral volatility, skewness, and kurtosis are included. Under this model specification, extrapolation generates less accurate forecasts and obscures the performance of risk-neutral kurtosis in volatility forecasting.
Relation:	Pacific-Basin Finance Journal, Vol.84, 102286
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.pacfin.2024.102286
DOI:	10.1016/j.pacfin.2024.102286
Appears in Collections:	[風險管理與保險學系] 期刊論文

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