کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091090 | 1375659 | 2007 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper contributes to our understanding of the informational content of implied volatility. Here we examine whether the S&P 500 implied volatility index (VIX) contains any information relevant to future volatility beyond that available from model based volatility forecasts. It is argued that this approach differs from the traditional forecast encompassing approach used in earlier studies. The findings indicate that the VIX index does not contain any such additional information relevant for forecasting volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 31, Issue 8, August 2007, Pages 2535-2549
Journal: Journal of Banking & Finance - Volume 31, Issue 8, August 2007, Pages 2535-2549
نویسندگان
Ralf Becker, Adam E. Clements, Scott I. White,