Modeling S&P500 returns with GARCH models

Rodrigo Alfaro and Alejandra Inzunza

Latin American Journal of Central Banking (previously Monetaria), 2023, vol. 4, issue 3

Abstract: This paper provides several estimates of the GARCH models’ parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the long-term volatility. By providing an external validation of the model using an option-based index reported by the Federal Reserve of Minneapolis, we are able to propose a calibrate model to track the tail-risk of this stock index.

Keywords: GARCH option pricing models; VIX; Tail-risk statistics (search for similar items in EconPapers)
JEL-codes: C52 G13 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:lajcba:v:4:y:2023:i:3:s2666143823000170

DOI: 10.1016/j.latcb.2023.100096

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