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| Author: | Szakmary, A. (et al.) |
| Title: | The predictive power of implied volatility: Evidence from 35 futures markets |
| Journal: | Journal of Banking and Finance
2003 : NOV, VOL 27:11, p. 2151-2175 |
| Index terms: | Stock markets Efficiency Volatility Forecasting Options Models |
| Freeterms: | Futures |
| Language: | eng |
| Abstract: | Using data from 35 futures options markets from eight separate exchanges, this study tests how well the implied volatilities (IVs) embedded in option prices predict subsequently realized volatility (RV) in the underlying futures. It is found that for this broad array of futures options, IV performs well in a relative sense. For a large majority of the commodities studied, the implieds outperform historical volatility (HV) as a predictor of the subsequently RV in the underlying futures prices over the remaining life of the option. |
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