Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25135
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dc.contributor.authorDetlefsen, Kaien_US
dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.date.accessioned2006-10-05en_US
dc.date.accessioned2009-07-23T14:44:01Z-
dc.date.available2009-07-23T14:44:01Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/25135-
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.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk|cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper|x2006-052en_US
dc.subject.jelG1en_US
dc.subject.jelD4en_US
dc.subject.jelC5en_US
dc.subject.ddc330en_US
dc.subject.keywordTerm structureen_US
dc.subject.keywordVariance swap curveen_US
dc.subject.keywordHeston modelen_US
dc.subject.keywordNelson- Siegel curveen_US
dc.subject.keywordSemiparametric factor modelen_US
dc.titleForecasting the term structure of variance swapsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn518433307en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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