Konstantinidi, Eirini, Skiadopoulos, George and Tzakaraki, Emmilia (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, Vol.32 (No.11). pp. 2401-2411.

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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)
Subjects:	H Social Sciences > HG Finance H Social Sciences > HC Economic History and Conditions
Divisions:	Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	Journal of Banking & Finance
Publisher:	Elsevier Science BV
ISSN:	0378-4266
Date:	November 2008
Volume:	Vol.32
Number:	No.11
Number of Pages:	11
Page Range:	pp. 2401-2411
Identification Number:	10.1016/j.jbankfin.2008.02.003
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
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
URI:	http://wrap.warwick.ac.uk/id/eprint/29077

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