Model | Moneyness ( ) | Total (%) | |||
| 0.96 - 0.99 | 0.99 - 1.01 | 1.01 - 1.03 | 1.03 - 1.05 |
|
Bootstrapping |
|
|
|
|
|
Overpricing | 0.80 | 3.12 | 14.19 | 5.29 | 23.40 |
Underpricing | 1.81 | 3.84 | 0.13 | 0.05 | 5.83 |
ARMA-GARCH |
|
|
|
|
|
Overpricing | 0.19 | 1.82 | 9.20 | 4.37 | 15.58 |
Underpricing | 1.79 | 3.96 | 0.36 | 0.30 | 6.41 |
Adjusted VIX |
|
|
|
|
|
Overpricing | 0.93 | 2.85 | 11.28 | 4.58 | 19.65 |
Underpricing | 1.92 | 3.63 | 0.04 | 0.10 | 5.70 |
Average |
|
|
|
|
|
Overpricing | 0.64 | 2.60 | 11.55 | 4.74 | 19.53 |
Underpricing | 1.84 | 3.81 | 0.53 | 0.15 | 6.33 |