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  <front>
    <journal-meta>
      <journal-id journal-id-type="publisher-id">JDS</journal-id>
      <journal-title-group>
        <journal-title>Journal of Data Science</journal-title>
      </journal-title-group>
      <issn pub-type="epub">1680-743X</issn>
      <issn pub-type="ppub">1680-743X</issn>
      <publisher>
        <publisher-name>SOSRUC</publisher-name>
      </publisher>
    </journal-meta>
    <article-meta>
      <article-id pub-id-type="publisher-id">100107</article-id>
      <article-id pub-id-type="doi">10.6339/JDS.2012.10(1).1037
</article-id>
      <article-categories>
        <subj-group subj-group-type="heading">
          <subject>Research Article</subject>
        </subj-group>
      </article-categories>
      <title-group>
        <article-title>An Empirical Study on Implied GARCH Models</article-title>
      </title-group>
      <contrib-group>
        <contrib contrib-type="author">
          <name>
            <surname>Huang</surname>
            <given-names>Shih-Feng</given-names>
          </name>
          <xref ref-type="aff" rid="j_JDS_aff_000"/>
        </contrib>
        <aff id="j_JDS_aff_000">National University of Kaohsiung</aff>
        <contrib contrib-type="author">
          <name>
            <surname>Liu</surname>
            <given-names>Yao-Chun</given-names>
          </name>
          <xref ref-type="aff" rid="j_JDS_aff_001"/>
        </contrib>
        <aff id="j_JDS_aff_001">National Chung Cheng University</aff>
        <contrib contrib-type="author">
          <name>
            <surname>Wu</surname>
            <given-names>Jing-Yu</given-names>
          </name>
          <xref ref-type="aff" rid="j_JDS_aff_002"/>
        </contrib>
        <aff id="j_JDS_aff_002">National University of Kaohsiung</aff>
      </contrib-group>
      <volume>10</volume>
      <issue>1</issue>
      <fpage>87</fpage>
      <lpage>105</lpage>
      <permissions>
        <ali:free_to_read xmlns:ali="http://www.niso.org/schemas/ali/1.0/"/>
      </permissions>
      <abstract>
        <p>Abstract: An empirical study is employed to investigate the performance of implied GARCH models in option pricing. The implied GARCH models are established by either the Esscher transform or the extended Girsanov principle. The empirical P-martingale simulation is adopted to compute the options efficiently. The empirical results show that: (i) the implied GARCH models obtain accurate standard option prices even the innova tions are conveniently assumed to be normal distributed; (ii) the Esscher transform describes the data better than the extended Girsanov principle; (iii) significant model risk arises when using implied GARCH model with non-proper innovations in exotic option pricing.</p>
      </abstract>
      <kwd-group>
        <label>Keywords</label>
        <kwd>Empirical martingale simulation</kwd>
        <kwd>Esscher transform</kwd>
        <kwd>implied GARCH model</kwd>
      </kwd-group>
    </article-meta>
  </front>
</article>
