A Comparison of Risk Neutral Historic Distribution -, E-GARCH - and GJR-GARCH Model Generated Volatility Skews for BRICS Securities Exchange Indexes

This paper addresses a question that was raised at the ICOAE 2014, 3-5 July, Chania, Island of Crete, Greece: how do the volatility skews for the BRICS countries generated by the Risk Neutral Historic Distribution model compare to those generated by using GARCH models? More precisely, in this paper a comparison is made between the volatility skews of the BRICS countries generated by using the RNHD model and those generated by using E-GARCH and GJR-GARCH models. The effect of different interest rates on the implied volatility skews of European call options is also considered.