On the informational efficiency of S&P500 implied volatility

North American Journal of Economics and Finance

Volumn 17, Issue 2, 2006, Pages 139-153

  Becker, Ralf ^a   Clements, Adam E ^b   White, Scott I ^b  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

Implied volatility; Information; Realized volatility; VIX index

Indexed keywords

EID: 33646504418     PISSN: 10629408     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.najef.2005.10.002     Document Type: Article

References (24)

1. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (1999). (Understanding, optimizing, using and forecasting) realized volatility and correlation (Working Paper). University of Pennsylvania.
2. Andersen T.G., Bollerslev T., Diebold F.X., and Labys P. The distribution of exchange rate volatility. Journal of the American Statistical Association 96 (2001) 42-55
3. Andersen T.G., Bollerslev T., Diebold F.X., and Labys P. Modeling and forecasting realized volatility. Econometrica 71 (2003) 579-625
4. Becker, R., Clements, A. E., & White, S.I. (2004). Forward looking information in S&P500 options. Unpublished mimeo. Queensland University of Technology.
5. Blair B.J., Poon S.-H., and Taylor S.J. Forecasting S&P100 volatility: The incremental information content of implied volatilities and high-frequency index returns. Journal of Econometrics 105 (2001) 5-26
6. Canina L., and Figlewski S. The informational content of implied volatility. The Review of Financial Studies 6 (1993) 659-681
7. Chernov, M. (2002). On the role of volatility risk premia in implied volatilities based forecasting regressions. Unpublsihed manuscript.
8. Chicago Board of Options Exchange. (2003). VIX, CBOE Volatility Index.
9. Christensen B.J., and Prabhala N.R. The relation between implied and realized volatility. Journal of Financial Economics 50 (1998) 125-150
10. Clements M.P., and Hendry D.F. Forecasting economic time series (1998), Cambridge University Press, Cambridge
11. Fleming J. The quality of market volatility forecasts implied by S&P100 index option prices. Journal of Empirical Finance 5 (1998) 317-345
12. Hansen L.P., and Hodrick R.J. Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy 88 (1980) 839-853
13. Harvey D., and Newbold P. Tests for multiple forecast encompassing. Journal of Applied Econometrics 15 (2000) 471-482
14. Hodrick R.J. Dividend yields and expected stock returns: Alternative procedures for inference and measurement. The Review of Financial Studies 5 (1992) 358-386
15. Jiang, G. J., & Tian, Y. S. (2003). Model-free implied volatility and its information content. Unpublished manuscript.
16. Jorion P. Predicting volatility in the foreign exchange market. Journal of Finance 50 (1995) 507-528
17. Lamoureux C.G., and Lastrapes W.D. Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities. The Review of Financial Studies 6 (1993) 293-326
18. Mincer J., and Zarnowitz V. The evaluation of economic forecasts. In: Mincer J. (Ed). Economic forecasts and expectations (1969), National Bureau of Economic Research, New York
19. Nelson D.B. Conditional heteroscedasticity in asset returns: A new approach. Econometrica 59 (1991) 347-370
20. Parkinson M. The extreme value method for estimating the variance of the rate of return. Journal of Business 53 (1980) 61-65
21. Pong S., Shackleton M.B., Taylor S.J., and Xu X. Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models. Journal of Banking & Finance 28 (2004) 2541-2563
22. Poon S.-H., and Granger C.W.J. Forecasting volatility in financial markets: A review. Journal of Economic Literature 41 (2003) 478-539
23. Richardson M., and Smith T. Test of financial models in the presence of overlapping observations. The Review of Financial Studies 4 (1991) 227-254
24. Szakmary A., Ors E., Kim J.K., and Davidson III W.N. The predictive power of implied volatility: Evidence from 35 futures markets. Journal of Banking & Finance 27 (2003) 2151-2175