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dc.contributor.advisorZhang, Jin
dc.contributor.authorJiang, Yushuang
dc.date.available2014-10-28T20:44:39Z
dc.date.copyright2014
dc.identifier.citationJiang, Y. (2014). Modified GARCH Process and Variance Risk Premium (Thesis, Master of Business). University of Otago. Retrieved from http://hdl.handle.net/10523/5079en
dc.identifier.urihttp://hdl.handle.net/10523/5079
dc.description.abstractIn this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH) process by introducing a new uncertainty into the volatility process. We then change probability measures from physical to risk-neutral ones by extending Duan’s (1995) locally risk-neutral valuation relationship (LRNVR). With the information of both daily index returns and the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), we estimate daily variances and model parameters by using the maximum likelihood method. The new modified GARCH process solves the problem of variance risk premium in the GARCH option models completely.
dc.language.isoen
dc.publisherUniversity of Otago
dc.rightsAll items in OUR Archive are provided for private study and research purposes and are protected by copyright with all rights reserved unless otherwise indicated.
dc.subjectGARCH option pricing models
dc.titleModified GARCH Process and Variance Risk Premium
dc.typeThesis
dc.date.updated2014-10-28T10:57:55Z
dc.language.rfc3066en
thesis.degree.disciplineDepartment of Accountancy & Finance
thesis.degree.nameMaster of Business
thesis.degree.grantorUniversity of Otago
thesis.degree.levelMasters
otago.interloanno
otago.openaccessAbstract Only
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