Pricing SPX and DIX by HAR models

Yow Jen Jou, Chih Wei Wang, Wan Chien Chiu

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


Previous studies have documented that, with use of high-frequency data, the Heteroskedasticity AR (HAR- RV) model performs better than other models in fitting financial return volatility measurement and has a more accurate forecasting ability. However, to our knowledge, no previous studies have investigated whether HAR-RV model can improve option pricing performance in financial markets. This study compares HAR-RV model and EGARCH model in terms of option pricing performance. As expected, the results of this study demonstrate that HAR-RV model is more accurate than EGARCH model in terms of S&P500 Index options (SPX) and Dow Jones Index options (DIX).

Original languageEnglish
Pages (from-to)10-20
Number of pages11
JournalInternational Journal of Computational Science and Engineering
Issue number1
StatePublished - 2010


  • DIX
  • EGARCH model
  • HAR-RV model
  • High-frequency data
  • Moneyness effects
  • Option pricing performance
  • SPX


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