Description

This paper provides several estimates of the parameters of a GARCH model for the S&P500 index, based on: (i) returns, (ii) returns and CBOE VIX, and (iii) returns, CBOE VIX, and other option-based indexes reported by the Federal Reserve of Minneapolis. We conclude that by including option-based indexes alternative calibrations are obtained, which can be used to compute improved tail-risk statistics under the risk neutral measure, providing a better assessment of the occurrence of extreme events.