| Tekijä: | Xu, X. Taylor, S. |
| Otsikko: | Conditional volatility and the informational efficiency of the PHLX currency options market |
| Lehti: | Journal of Banking and Finance
1995 : AUG, VOL. 19:5, p. 803-822 |
| Asiasana: | INFORMATION EFFICIENCY CURRENCY OPTIONS |
| Kieli: | eng |
| Tiivistelmä: | The relative performance of implied and historical volatility predictors is compared for four exchange rates from 1985 to 1991. For three currencies, ARCH models estimated up to 1989 show that PHLX implied volatilities provide specifications for daily conditional variances which can not be significantly improved by using past returns. This result is consistent with the informational efficiency of the Philadelphia currency options market. |
SCIMA