期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2010
卷号：2010
期号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price
options. The models can be estimated straightforwardly by maximum likelihood, have high
statistical fit when used on S&P 500 index return data, and allow for substantial negative
skewness and time varying higher order moments of the risk neutral distribution. When
forecasting out-of-sample a large set of index options between 1996 and 2009, substantial
improvements are found compared to several benchmark models in terms of dollar losses and the
ability to explain the smirk in implied volatilities. Overall, the dollar root mean squared error of
the best performing benchmark component model is 39% larger than for the mixture model.
When considering the recent financial crisis this difference increases to 69%.
