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2006-07-06Buch DOI: 10.18452/3982
Forecasting the Term Structure of Variance Swaps
dc.contributor.authorDetlefsen, Kai
dc.contributor.authorHärdle, Wolfgang
dc.date.accessioned2017-06-15T23:13:11Z
dc.date.available2017-06-15T23:13:11Z
dc.date.created2006-09-20
dc.date.issued2006-07-06
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4634
dc.description.abstractRecently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and model the entire variance swap curves by two exponential factors whose loadings evolve dynamically on a weekly basis. Generalizing this approach we consider a reparametrization of the three-dimensional Nelson-Siegel factor model. We show that these factors can be interpreted as level, slope and curvature and how they can be estimated directly from characteristic points of the curves. Moreover, we analyze a semiparametric factor model. Estimating autoregressive models for the factor loadings we get termstructure forecasts that we compare in addition to the random walk and the static Heston model that is often used in industry. In contrast to the results of Diebold and Li (2003) on yield curves, no model produces better forecasts of variance swap curves than the random walk but forecasting the Heston model improves the popular static Heston model. Moreover, the Heston model is better than the flexible semiparametric approach that outperforms the Nelson-Siegel model.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectTerm structureeng
dc.subjectHeston modeleng
dc.subjectVariance swap curveeng
dc.subjectNelson-Siegel curveeng
dc.subjectSemiparametric factor modeleng
dc.subject.ddc330 Wirtschaft
dc.titleForecasting the Term Structure of Variance Swaps
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10068295
dc.identifier.doihttp://dx.doi.org/10.18452/3982
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages32
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue52
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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