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Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices
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Konstantinidi, Eirini, Skiadopoulos, George and Tzakaraki, Emilia (2008) Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices. In: 19th Australasian Finance and Banking Conference, Sydney, Australia, 13-15 Dec, 2006. Published in: Journal of Banking & Finance, Volume 32 (Number 11). pp. 2401-2411. doi:10.1016/j.jbankfin.2008.02.003 ISSN 0378-4266.
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Official URL: http://dx.doi.org/10.1016/j.jbankfin.2008.02.003
Abstract
We address the question whether the evolution of implied volatility can be forecasted by Studying a number of European and US implied volatility indices. Both point and interval forecasts are formed by alternative model specifications. The statistical and economic significance of these forecasts is examined. The latter is assessed by trading strategies in the recently inaugurated CBOE volatility futures markets. Predictable patterns are detected from a statistical point of view. However, these are not economically significant since no abnormal profits can be attained. Hence, the hypothesis that the volatility futures markets are efficient cannot be rejected. (C) 2008 Elsevier B.V. All rights reserved.
Item Type: | Conference Item (UNSPECIFIED) | ||||
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Subjects: | H Social Sciences > HG Finance H Social Sciences > HC Economic History and Conditions |
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Library of Congress Subject Headings (LCSH): | Finance -- Mathematical models, Options (Finance) -- United States -- Mathematical models, Options (Finance) -- Europe -- Mathematical models, Efficient market theory -- Mathematical models, Stock markets -- Efficiency, Derivative securities -- United States -- Mathematical models, Derivative securities -- Europe -- Mathematical models | ||||
Journal or Publication Title: | Journal of Banking & Finance | ||||
Publisher: | Elsevier Science BV | ||||
ISSN: | 0378-4266 | ||||
Official Date: | November 2008 | ||||
Dates: |
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Volume: | Volume 32 | ||||
Number: | Number 11 | ||||
Number of Pages: | 11 | ||||
Page Range: | pp. 2401-2411 | ||||
DOI: | 10.1016/j.jbankfin.2008.02.003 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Funder: | Panepistēmio Peiraiōs [University of Piraeus] | ||||
Title of Event: | 19th Australasian Finance and Banking Conference | ||||
Type of Event: | Conference | ||||
Location of Event: | Sydney, Australia | ||||
Date(s) of Event: | 13-15 Dec, 2006 |
Data sourced from Thomson Reuters' Web of Knowledge
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