haku: @freeterm implied volatility / yhteensä: 3
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| Tekijä: | Fleming, J. |
| Otsikko: | The quality of market volatility forecasts implied by S&P 100 index option prices |
| Lehti: | Journal of Empirical Finance
1998 : OCT, VOL. 5:4, p. 317-345 |
| Asiasana: | Stock markets Forecasting Volatility Options Information |
| Vapaa asiasana: | Implied volatility Information content |
| Kieli: | eng |
| Tiivistelmä: | In the study, the performance of the S&P 100 implied volatility is examined as forecast of future stock market volatility. The results indicate that the implied volatility is an upward biased forecast, but also that it contains relevant information regarding future volatility. The implied volatility dominates the historical volatility rate in terms of ex-ante forecasting power, and its forecast error is orthogonal to parameters frequently linked to conditional volatility, including those employed in various ARCH specifications. These findings suggest that a linear model which corrects for the implied volatility's bias can provide a useful market-based estimator of conditional volatility. reserved. |
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