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