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- Published online August 27, 2019.
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An Improved Estimation Method for a Family of GARCH Models
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- Article
- Abstract
- GENERAL GARCH(1,1) MODEL
- ESTIMATION AND CALIBRATION
- STANDARD QUASI-MAXIMUM-LIKELIHOOD ESTIMATION
- KURTOSIS-TARGETING ESTIMATION
- VTE AND COMBINED VKTE
- CALIBRATION OF THE RISK-NEUTRAL DYNAMICS TO OPTION PRICES
- RESULTS AND DISCUSSIONS
- DATA
- ESTIMATION RESULTS
- CALIBRATION RESULTS
- OPTION PRICING RESULTS
- OUT-OF-SAMPLE OPTION PRICING
- ROBUSTNESS TESTS
- CONCLUSION AND FURTHER RESEARCH
- ADDITIONAL READING
- ACKNOWLEDGMENT
- APPENDIX A
- APPENDIX B
- ENDNOTES
- REFERENCES
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