The informational quality of implied volatility and the volatility risk premium
DC Field | Value | Language |
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dc.contributor.author | Ferris, Stephen P. | - |
dc.contributor.author | Kim, Woojin | - |
dc.contributor.author | Park, Kwangwoo | - |
dc.date.accessioned | 2021-09-08T10:05:11Z | - |
dc.date.available | 2021-09-08T10:05:11Z | - |
dc.date.created | 2021-06-11 | - |
dc.date.issued | 2010 | - |
dc.identifier.issn | 1350-4851 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/118577 | - |
dc.description.abstract | This article examines the informational quality of implied volatility in forecasting future realized volatility using daily SP 500 and SP 100 index option prices from 2000 to 2006. In contrast to many previous studies, we find that implied volatility is an unbiased and efficient estimator of future realized volatility. Unlike implied volatility estimates; both historical and conditional volatility estimates using GARCH and EGARCH models possess limited explanatory power. A delta-hedged trading strategy with long positions in calls, however, generates significantly negative profits that imply a misspecification of constant volatility models. These results suggest that implied volatility estimates from constant volatility models contain valuable information, even though the model might be misspecified. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.subject | OPTIONS | - |
dc.subject | MARKET | - |
dc.title | The informational quality of implied volatility and the volatility risk premium | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Woojin | - |
dc.identifier.doi | 10.1080/13504850801935356 | - |
dc.identifier.scopusid | 2-s2.0-77949315766 | - |
dc.identifier.wosid | 000275409800006 | - |
dc.identifier.bibliographicCitation | APPLIED ECONOMICS LETTERS, v.17, no.5, pp.445 - 450 | - |
dc.relation.isPartOf | APPLIED ECONOMICS LETTERS | - |
dc.citation.title | APPLIED ECONOMICS LETTERS | - |
dc.citation.volume | 17 | - |
dc.citation.number | 5 | - |
dc.citation.startPage | 445 | - |
dc.citation.endPage | 450 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | ahci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | OPTIONS | - |
dc.subject.keywordPlus | MARKET | - |
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