Alfaro, Rodrigo; Inzunza, Alejandra - In: Latin American journal of central banking : LAJCB 4 (2023) 3, pp. 1-11
This paper provides several estimates of the GARCH models' parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the long-term volatility. By providing an...
