Download or read book The Informational Content of Implied Volatility written by Linda Canina and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Informational Content of Implied Volatility Around Stock Splits written by Brandon Julio and published by . This book was released on 2005 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous research has been mixed with respect to whether option implied volatility reflects market expectations about future realized volatility for the underlying asset. This paper uses a previously documented volatility increasing event, the stock split, to investigate the informational content in implied volatility around stock split announcements. We find that the time series profile of implied volatility around stock splits is consistent with the predictions of standard option pricing theory. Option market participants appear to revise their forecasts of future realized volatility permanently upward at the split announcement. In addition, we find that changes in implied volatility at the split announcement provide informative forecasts of changes in realized stock volatility at the ex-date. However, these forecasts are biased and inefficient as other known, firm-specific variables improve the forecasts of changes in realized volatility. The use of intra-daily realized volatility estimates rather than those based on daily observations significantly reduces the bias in predictive regressions.

Download or read book The Informational Content of Implied Volatility and Historical Stock Data in the Calibration of a Stochastic Volatity i e Volatility Model written by Gianna Figà-Talamanca and published by . This book was released on 2000 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Informational Content of Implied Volatility from Options on the Oslo Stock Exchange written by Parvez Ahmed and published by . This book was released on 1996 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Informational Content of Implied Volatility in Variance covariance Value at risk Models written by Po-Sheng Chao and published by . This book was released on 1999 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Information Content of Implied Volatilities and Model Free Volatility Expectations written by Stephen J. Taylor and published by . This book was released on 2008 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms during the period from January 1996 to December 1999. Volatility forecasts defined by historical stock returns, at-the-money (ATM) implied volatilities and model-free (MF) volatility expectations are compared for each firm. The recently developed model-free volatility expectation incorporates information across all strike prices, and it does not require the specification of an option pricing model.Our analysis of ARCH models shows that, for one-day-ahead estimation, historical estimates of conditional variances outperform both the ATM and the MF volatility estimates extracted from option prices for more than one-third of the firms. This result contrasts with the consensus about the informational efficiency of options written on stock indices; several recent studies find that option prices are more informative than daily stock returns when estimating and predicting index volatility. However, for the firms with the most actively traded options, we do find that the option forecasts are nearly always more informative than historical stock returns. When the prediction horizon extends until the expiry date of the options, our regression results show that the option forecasts are more informative than forecasts defined by historical returns for a substantial majority (86%) of the firms. Although the model-free (MF) volatility expectation is theoretically more appealing than alternative volatility estimates and has been demonstrated to be the most accurate predictor of realized volatility by Jiang and Tian (2005) for the Samp;P 500 index, the results for our firms show that the MF expectation only outperforms both the ATM implied volatility and the historical volatility for about one-third of the firms. The firms for which the MF expectation is best are not associated with a relatively high level of trading in away-from-the-money options.

Download or read book The Information Content of Implied Volatility written by Linda Canina and published by . This book was released on 1991 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Information Content in Implied Idiosyncratic Volatility and the Cross Section of Stock Returns written by Dean Diavatopoulos and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Prior studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and are likely a superior measure to historical realized volatility. We use implied idiosyncratic volatilities on firms with traded options to examine the relation between idiosyncratic volatility and future returns. We find a strong positive link between implied idiosyncratic risk and future returns. After considering the impact of implied idiosyncratic volatility, historical realized idiosyncratic volatility is unimportant. This performance is strongly tied to small size and high book-to-market equity firms.

Download or read book The Informational Content of the Implied Volatility Surface in Commodity Markets written by Jörg Stephan Cyriax and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis extends the findings on implied moments in equity markets to commodities and presents supporting evidence for demand-based option pricing and informed trading. Different implied moments measured by various metrics which are calculated based on a set of maturities and moneyness levels as well as their innovations are subject of the presented investigations. The sample comprises the 24 GSCI commodities in the period from January 2006 until June 2017. Several portfolio sorts and additional predictive fixed effects panel regressions confirm an economically and statistically significant negative predictive ability of innovations of relative implied skewness which increases with maturity and distance from at-the-money. This predictive ability is almost purely driven by the anticipation of lower returns, i.e. downside jump risk. A low-minus-high trading strategy based on innovations of implied skewness is constructed returning 11.90\% p.a. (after transaction costs of 0.033\% per trade and with 50\% collateralization) which cannot be explained by common commodity factors. The underlying predictive ability can be reasoned with better information of some market participants (informed trading) whose option demand causes the implied volatility smile to adjust accordingly. Eventually, concurrent and predictive effects of implied volatility and implied skewness for the commodity basis are found which may lay the foundation for extending the implied moments-related research to physical variables.

Download or read book The Informational Content of the Implied Volatility of Foreign Currency Options written by John Leo Saranchuk and published by . This book was released on 1994 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Applied Economic Forecasting written by Henri Theil and published by . This book was released on 1966 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subjects covered include econometric macromodels, preliminary estimates of recent changes input-outputs, forecast applications of information concepts and various survey techniques dealing ...

Download or read book On the Dynamics and Information Content of Implied Volatility written by Arnold W. Sametz and published by . This book was released on 1991 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Information Content of the Implied Volatility from S P 500 Index written by Loucas Demetriou and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Information Content of Implied Volatility an Empirical Study of the FTSE 100 Stock Index Options written by Charalambos Vovos and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Information Content of Implied Volatility written by Bart Frijns and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop and evaluate the information content of an implied volatility index for the Australian stock market. Using price data on Samp;P/ASX 200 index options and SFE SPI 200 index futures options, we develop implied volatility indices with a time to maturity of three months and one month, respectively. When evaluating the information content of both implied volatility indices we find that the implied volatility index based on the Samp;P/ASX 200 index options with a three-month horizon is most informative in terms of explaining stock market returns and forecasting future volatility. For this implied volatility index we find a significant negative and asymmetric relationship between changes in implied volatility and Samp;P/ASX 200 returns, i.e., stock market prices decline more when implied volatility increases than they increase when implied volatility drops. When evaluating the forecasting power of implied volatility for future market volatility we find that the implied volatility index based on the Samp;P/ASX 200 index options contains important information both insample and out-of-sample. In-sample, the implied volatility index significantly improves the fit of a GJR-GARCH(1, 1) model. Out-of-sample, we find that the implied volatility index significantly outperforms the RiskMetrics and GJR-GARCH(1, 1) model, with its highest forecasting power at the one-month forecasting horizon.

Download or read book The Model Free Implied Volatility and Its Information Content written by George J. Jiang and published by . This book was released on 2013 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard & Poor's 500 index (SPX) options suggest that the model-free implied volatility subsumes all information contained in the Black-Scholes (B-S) implied volatility and past realized volatility and is a more efficient forecast for future realized volatility.

Download or read book The Model Free Implied Volatility and its Information Content written by e J. Jiang and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard amp; Poor`s 500 index (SPX) options suggest that the model-free implied volatility subsumes all information contained in the Black-Scholes (B-S) implied volatility and past realized volatility and is a more efficient forecast for future realized volatility.