I am doing a master thesis on Variance Swap and my dear friend told me I could find some valuable help on the "Quantitative Finance Stack Exchange".
I would like to apologise beforehand, if my questions is out of order with the chart of this "forum"
At first, I wanted to implement a dispersion trading strategy using Variance Swap.The problem is I can't have access to options data. Therefore, I was thinking of plotting an E-GARCH Model and buy or not a variance swap depending on my forecast.
I heard that Variance Swap rates are available for major equity index on Bloomberg.
Do you think this is pertinent ? Or is there strategies with variance swap that are easier to implement.
Thank you for your time,