Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - Economics Department, Queen's University - 2005
implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized … volatility is to some extent predictable, and that option implied volatility is the dominant forecast of the future jump … exchange rate volatility. Furthermore, we show that log-normality is an even better distributional approximation for implied …