Analysis of the Term Structure of Implied Volatilities
基于均值回复、GARCH和EGARCH三种模型，研究短期与长期隐含波动率的关系，并用期权数据检验，发现EGARCH模型最能描述资产价格和隐含波动率的期限结构。
From various empirical work, it is well known that the volatility of asset returns changes over time. This might be one of the reasons that implied volatilities differ for options that only differ in time to maturity. We construct models for the relation between short- and long-term implied volatilities based on three different assumptions of stock return volatility behavior, i.e., mean-reverting, GARCH, and EGARCH models. We test these relations on option price data and conclude that EGARCH gives the best description of asset prices and the term structure of options' implied volatilities.