Economics, Econometrics and Finance
4 years ago

New model predicts Brazilian market volatility term structure accurately.

Applied Mathematical Sciences
Term structure analysis of option implied volatility in the Brazilian market
Carlos Heitor Campani, Carlos Eduardo Fucci

Paper Summary

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The article predicts how the volatility of a certain asset changes over time. By using a specific model, the researchers were able to improve predictions about how the volatility of two Brazilian companies changes based on the maturity of the options used. This means that the model can better estimate how the volatility of these companies responds to sudden changes.