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Predicting S&P 500 volatility for intermediate time horizons using implied forward volatility

This paper finds that the implied forward volatility of S&P 500 futures options contains significant explanatory power regarding sunsequent realized volatility during intermediate future time intervals. It provides rational, unbiased, and informationally efficient predictions and dominates all alternative volatility forecasts considered.
Year of publication:
2007
Authors: Egelkraut, Thorsten ; Garcia, Philip
Published in:
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 15.2007, 1, p. 31-34
Publisher: Taylor & Francis Journals
Extent:
text/html
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10009277474
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