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Empirical Economics

, Volume 57, Issue 6, pp 1935–1958 | Cite as

Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure

  • Jan PospíšilEmail author
  • Tomáš Sobotka
  • Philipp Ziegler
Article
  • 90 Downloads

Abstract

In this paper, we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the jump part in the underlying model dynamics. Also an impact of the long memory parameter is measured for the approximative fractional SV model (FSV). For the first time, the robustness of calibrated models is measured using bootstrapping methods on market data and Monte Carlo filtering techniques. In contrast to several other sensitivity analysis approaches for SV models, the newly proposed methodology does not require independence of calibrated parameters—an assumption that is typically not satisfied in practice. Empirical study is performed on a data set of Apple Inc. equity options traded in four different days in April and May 2015. In particular, the results for Heston, Bates and approximative FSV models are provided.

Keywords

Robustness analysis Sensitivity analysis Stochastic volatility models Bootstrapping Monte Carlo filtering 

Mathematics Subject Classification

62F35 62F40 91G20 91G70 

JEL Classification

C52 C58 C12 G12 

Notes

Acknowledgements

This work was supported by the GACR Grant 14-11559S Analysis of Fractional Stochastic Volatility Models and their Grid Implementation. Computational resources were provided by the CESNET LM2015042 and the CERIT Scientific Cloud LM2015085, provided under the programme “Projects of Large Research, Development, and Innovations Infrastructures”.

Compliance with ethical standards

Conflict of interest

The authors declare that they have no conflict of interest.

Ethical approval

This article does not contain any studies with human participants or animals performed by any of the authors.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.NTIS - New Technologies for the Information Society, Faculty of Applied SciencesUniversity of West BohemiaPlzeňCzech Republic
  2. 2.Department of MathematicsUniversity of RostockRostockGermany

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