A GARCH model of the implied volatility of the Swiss market index from option prices

Sabbatini, M. & Linton, O. (1998). A GARCH model of the implied volatility of the Swiss market index from option prices. International Journal of Forecasting, 14(2), 199-213. https://doi.org/10.1016/S0169-2070(98)00027-2
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Item Type Article
Departments LSE
DOI 10.1016/S0169-2070(98)00027-2
Date Deposited 27 Apr 2007
URI https://researchonline.lse.ac.uk/id/eprint/1266

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