The Forecasting Performance of the Implied Standard Deviation in Currency Options

This study evaluates the forecasting performance of different predictive measures for the future exchange rate variability. Results seem to indicate that the out‐of‐the‐money ISD outperforms the at‐the‐money ISD and other predictive measures. Thus, when ISD is used to forecast future exchange rate variability, out‐of‐the‐money options should be selected instead of using all other options to compute the complicated weighting schemes.

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Year of publication:	1990
Authors:	Fung, Hung‐Gay ; Lie, Chin‐Jen ; Moreno, Abel
Published in:	Managerial Finance. - MCB UP Ltd, ISSN 1758-7743, ZDB-ID 2047612-7. - Vol. 16.1990, 3, p. 24-29
Publisher:	MCB UP Ltd

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Type of publication:	Article
Type of publication (narrower categories):	review-article
Language:	English
Other identifiers:	10.1108/eb013646 [DOI]
Source:	Other ZBW resources

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