A Class of Term Structures for SVI Implied Volatility

2010 ◽  
Author(s):  
Sebastien Gurrieri
Keyword(s):  
Implied Volatility ◽  
Term Structures

Equity Volatility Term Structures and the Cross Section of Option Returns

2017 ◽  
Vol 52 (6) ◽  
pp. 2727-2754 ◽  
Author(s):  
Aurelio Vasquez
Keyword(s):  
Term Structure ◽  
Cross Section ◽  
Implied Volatility ◽  
Higher Order ◽  
Jump Risk ◽  
Option Returns ◽  
Term Structures ◽  
Order Option ◽  
The Cross

The slope of the implied volatility term structure is positively related to future option returns. I rank firms based on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and statistically significant amount. The results are robust to different empirical setups and are not explained by traditional factors, higher-order option factors, or jump risk.

scholarly journals Implied Volatility Prediction Based on Different Term Structures: An Empirical Study of the SSE 50 ETF Options Market from High-Frequency Data

2021 ◽  
Vol 235 ◽  
pp. 02043
Author(s):  
Wenqi Yang ◽  
Jingkun Ma
Keyword(s):  
High Frequency ◽  
Implied Volatility ◽  
Model Fitting ◽  
Garch Model ◽  
High Frequency Data ◽  
Time Varying ◽  
Options Market ◽  
Term Structures ◽  
Typical Time ◽  
Better Than

This article focuses on the implied volatility forecast of the SSE 50 ETF options market from June 1, 2017, to August 30, 2019, and constructs AR (1) model and ARMA-GARCH model based on liquidity characteristics to compare and analyze the prediction effect of implied volatility on different option types and term structures. The results show that, during the sample period of the SSE 50 ETF options market, the effect of model fitting of the ARMA-GARCH model is significantly better than the AR (1) model; the fitting sequences predicted by the two models have typical time-varying and synchronization characteristics, and the prediction effect of the ARMA-GARCH model in the whole period is significantly better than the AR (1) model.

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