Modeling S&P500 returns with GARCH models

Rodrigo Alfaro and Alejandra Inzunza

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper provides several estimates of the parameters of a GARCH model for the S&P500 index, based on: (i) returns, (ii) returns and CBOE VIX, and (iii) returns, CBOE VIX, and other option-based indexes reported by the Federal Reserve of Minneapolis. We conclude that by including option-based indexes alternative calibrations are obtained, which can be used to compute improved tail-risk statistics under the risk neutral measure, providing a better assessment of the occurrence of extreme events.

Date: 2022-05
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:955

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