Arbeitspapier
GARCH, Implied Volatilities and Implied Distributions: An Evaluation for Forecasting Purposes
Volatility implied in option prices reflects the market participant's beliefs about future volatility and incorporates information that is not historical. Implied volatility is therefore widely believed to perform better as an indicator of future volatility than other forecasts based on historical time-series. In this study, I investigate the information content and predictive power of implied volatility from currency options traded on the OTC-market. Furthermore, I evaluate implied volatility both against other forecasts based on option prices and against volatility forecasts from models that are strictly historical by nature such as different GARCH models. I find that implied volatility has predictive power in forecasting future volatility, at least for shorter forecast horizons, although in most cases the forecasts are not unbiased. Furthermore, for some currencies GARCH volatility forecasts outperform implied volatility.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 88
- Klassifikation
-
Wirtschaft
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
- Thema
-
Implied volatility
GARCH
Forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Aguilar, Javiera
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Aguilar, Javiera
- Sveriges Riksbank
Entstanden
- 1999
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