Model | Time to Maturity (T − t) | |||
| >1 Month | 2 to 3 Weeks | 1 to 2 Weeks | <1 Week |
Bootstrapping |
|
|
|
|
Overpricing | 16.51 | 15.90 | 8.67 | 5.30 |
Underpricing | 17.13 | 15.44 | 9.33 | 7.79 |
ARMA-GARCH |
|
|
|
|
Overpricing | 12.63 | 11.40 | 6.24 | 3.77 |
Underpricing | 13.32 | 11.25 | 6.75 | 5.74 |
Adjusted VIX |
|
|
|
|
Overpricing | 10.83 | 9.19 | 6.73 | 2.79 |
Underpricing | 11.17 | 9.25 | 6.64 | 4.54 |