Title: Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures
Authors: Christophe Chorro - University (France) [presenting]
Abstract: The pricing performances of a large collection of GARCH models is discussed by questioning the global synergy between the choice of the affine/non-affine GARCH specification, the use of competing alternatives to the Gaussian distribution, the selection of an appropriate pricing kernel and the choice of different estimation strategies based on several sets of financial information. Furthermore, an important question in relation to the correlation between the performance of a pricing scheme and its ability to forecast VIX dynamics is answered. VIX analysis clearly appears as a parsimonious first-stage filter to discard the worst GARCH option pricing models.