论文标题
差异交换率仿射是否在现货差异中？ S＆P500数据的证据
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data
论文作者
论文摘要
我们从经验上研究方差互换率与点方差之间的功能联系。在2006 - 2018年期间，使用S \＆P500数据，我们发现了支持Kallsen等人分析的仿射链接的压倒性经验证据。 （2011）在指数型随机波动率模型的背景下。对年度子样本的测试表明，指数均值转移的差异模型在极端波动率的时期可提供良好的拟合度，而Cuchiero（2011）中引入的多项式模型适合多年，其价格频繁，价格更高。
We empirically investigate the functional link between the variance swap rate and the spot variance. Using S\&P500 data over the period 2006-2018, we find overwhelming empirical evidence supporting the affine link analytically found by Kallsen et al. (2011) in the context of exponentially affine stochastic volatility models. Tests on yearly subsamples suggest that exponentially mean-reverting variance models provide a good fit during periods of extreme volatility, while polynomial models, introduced in Cuchiero (2011), are suited for years characterized by more frequent price jumps.
