Evaluation of Dynamics of the VIX Index Via Heston Model

Proceedings of the International Conference on Business Intelligence and Financial Engineering (ICBIFE’2011) 2011
Jegors Fjodorovs, Andrejs Matvejevs

A methodology for the estimation of parameter of a stochastic model using discontinuous models (ARIMA class) and based on the financial market data is introduced. We show how to apply our technique to the financial index VIX - a market mechanism that measures the 30-day forward implied volatility of the underlying index, the S&P 500. Also the results with regression model of time series which produced by Heston volatility model are considered.

Atslēgas vārdi
VIX index, CIR model, Heston model, ARIMA, ARCH.
Hipersaite
http://www.ited.org.cn/icbife2011/index.htm

Fjodorovs, J., Matvejevs, A. Evaluation of Dynamics of the VIX Index Via Heston Model. No: Proceedings of the International Conference on Business Intelligence and Financial Engineering (ICBIFE’2011), Honkonga, Hong Kong, 12.-13. decembris, 2011. Hong Kong: Hong Kong University, 2011, 125.-131.lpp.

Publikācijas valoda
English (en)