A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility

Physica A: Statistical Mechanics and its Applications

Volumn 424, Issue , 2015, Pages 105-112

  Bentes, Sónia R ^a,b  

^a ISCAL   (Portugal)

^b INSTITUTO UNIVERSITÁRIO DE LISBOA ISCTE IUL   (Portugal)

Author keywords

GARCH forecasted volatility; Implied volatility; Inefficiency; Out of sample forecasting accuracy

Indexed keywords

EFFICIENCY;

CONDITIONAL HETEROSKEDASTICITY; FORECASTING ACCURACY; FORECASTING EFFICIENCIES; GARCH FORECASTED VOLATILITY; IMPLIED VOLATILITY; INEFFICIENCY; ORDINARY LEAST SQUARES; OUT-OF-SAMPLE FORECAST;

FORECASTING;

EID: 84921881158     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2015.01.020     Document Type: Article

References (25)

1. Christensen, N.R. Prabhala, The relation between implied and realized volatility, J. Financ. Econ. 50 (1998) 125-150.
2. D.H. Hsu, B.M. Murray, On the volatility of volatility, Physica A 380 (2007) 366-376.
3. H.A. Latane, J.R. Rendleman Jr., Standard deviations of stock price ratios implied in option prices, J. Finance 31 (1976) 369-381.
4. D.P. Chiras, S. Manaster, The information content of option prices and a test of market efficiency, J. Financ. Econ. 6 (1978) 213-234.
5. S. Beckers, Standard deviation implied in options prices as prdictors of future stock price variability, J. Bank. Finance 5 (1981) 363-381.
6. J. Fleming, B. Ostdiek, R.E. Whaley, Predicting stock market volatility: a new measure, J. Futures Mark. 15 (1995) 265-302.
7. P. Giot, The information content of implied volatility in agricultural commodity markets, J. Futures Mark. 23 (2003) 441-454.
8. A. Szakmary, E. Ors, J.K. Kim, W.N. Davidson III, The predictive power of implied volatility: evidence from 35 futures markets, J. Bank. Finance 27 (2003) 2151-2175.
9. P. Agnolucci, Volatility in crude oil futures: a comparison of the predictive ability of GARCH and implied volatility models, Energy Econ. 31 (2009) 316-321.
10. T. Day, C. Lewis, Stock market volatility and the information content of stock index options, J. Econometrics 52 (1992) 267-287.
11. C.G. Lamoureux, W. Lastrapes, Forecasting stock returns variance: towards understanding stochastic implied volatility, Rev. Financ. Stud. 6 (1993) 293-326.
12. R. Kumar, K. Shastri, The predictive ability of stock prices implied in option premia, Adv. Futures Options Res. 4 (1990) 165-176.
13. W.L. Randolph, B.L. Rubin, E.M. Cross, The response of implied standard deviations to changing market conditions, Adv. Futures Options Res. 4 (1990) 265-280.
14. L. Canina, S. Fliglewsi, The informational content of implied volatility, Rev. Financ. Stud. 6 (1993) 659-681.
15. R.F. Engle, J. Rosenberg, Testing the volatility term structure using option hedging criteria, J. Deriv. 8 (2000) 10-28.
16. J.B. Blair, S.-H. Poon, S.J. Taylor, Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns, J. Econometrics 105 (2001) 5-26.
17. R. Becker, A.E. Clements, S.I. White, On the informational efficiency of S&P500 implied volatility, N. Am. J. Econ. Finance 17 (2006) 139-153.
18. E.-T. Chen, A. Clements, S&P 500 implied volatility and monetary policy announcements, Finance Res. Lett. 4 (2006) 227-232.
19. S.O. Nam, S.Y. Oh, H.K. Kim, B.C. Kim, An empirical analysis of price discovery and pricing bias in KOSPI 200 stock index derivatives markets, Int. Rev. Financ. Anal. 15 (2006) 398-414.
20. E.B. Vrught, US and Japanese macroeconomic news and stock market volatility in Asia-Pacific, Pacific-Basin Finance J. 17 (2009) 611-627.
21. S.R. Bentes, R. Menezes, On the predictability of realized volatility using feasible GLS, J. Asian Econ. 28 (2013) 58-66.
22. T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, J. Econometrics 31 (1986) 307-327.
23. D.I. Harvey, S.J. Leybourne, P. Newbold, Tests for forecast encompassing, J. Bus. Econom. Statist. 16 (1998) 254-259.
24. F.X. Diebold, R.S. Mariano, Comparing predictive accuracy, J. Bus. Econom. Statist. 13 (1995) 253-263.
25. D.I. Harvey, P. Newbold, Tests for multiple forecast encompassing, J. Appl. Econometrics 15 (2000) 471-482.