Article ID Journal Published Year Pages File Type
5091124 Journal of Banking & Finance 2008 11 Pages PDF
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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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