Volatility-based strategy on Chinese equity index ETF options

By Peng Yifeng

Published 2023-04-14

Everscope rating

1441.8

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: GARCH modeling. Problem types: Time Series Forecasting, Volatility Prediction.

arXiv:2403.00474 · Paper rankings

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