Modeling S&P500 returns with GARCH models
This paper provides several estimates of the GARCH models’ parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the long-term volatility. By providing an externa...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-09-01
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| Series: | Latin American Journal of Central Banking |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2666143823000170 |