Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
比较了五种随机波动率模型与仿射平方根模型在已实现波动率、S&P500收益率和期权数据上的表现，发现方差线性扩散模型优于平方根扩散模型。
Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. We investigate alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources: realized volatilities, S&P500 returns, and an extensive panel of option data. The three sources of data all point to the same conclusion: the best volatility specification is one with linear rather than square root diffusion for variance. This model captures the stylized facts in realized volatilities, it performs well in fitting various samples of index returns, andit has the lowest option implied volatility mean squared error in and out of sample. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.