Probabilistic forecasts of volatility and its risk premia
波动率及其风险溢价的概率预测
The object of this paper is to produce distributional forecasts of asset price volatility and its associated risk premia using a non-linear state space approach. Option and spot market information on the latent variance process is captured by using dual ‘model-free’ variance measures to define a bivariate observation equation in the state space model. The premium for variance diffusive risk is defined as linear in the latent variance (in the usual fashion) whilst the premium…