Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts
研究了六种GARCH模型估计的预期波动率分布对全球九大股指期权定价的影响，发现该模型能紧密拟合隐含波动率，且基于此的交易策略产生高夏普比率和阿尔法。
Models of option returns neglect the distribution of expected asset volatility, unfortunately for not only derivatives traders but also investors who monitor options as <i>fear gauges</i>. Six common GARCH (generalized autoregressive conditional heteroskedasticity) models afford estimates of the physical, rather than the risk-neutral, distribution of anticipated—instead of historical—volatility, as well as of volatility disagreement. This value specification covering nine global equity indexes and five expiries from 1 to 12 months fits implied volatilities closely, with sizeable and robust error-correction speeds out of sample, all else equal. Exploratory backtests of delta-neutral trading rules produce high Sharpe ratios and alphas, with modest drawdowns and skew.