Does implied volatility contain information about future volatility? Evidence from the Petrobras options market

Detalhes bibliográficos
Autor(a) principal: Vicente, José Valentim Machado
Data de Publicação: 2010
Outros Autores: Guedes, Tiago de Sousa
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/359
Resumo: The aim of this work is to study the relationship between implied and realized volatilities. For this purpose, we analyze the markets of Petrobras stocks and calls between January 2006 and December 2008. Regression analysis with no overlapping monthly data of in-the-money, at-the-money and out-of-the-money calls indicates that the implied volatility of out-of-the-money options contains more information about future volatility than does historical volatility. On the other hand, the implied volatility of the in-the-money and at-the-money calls has poor explanatory
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spelling Does implied volatility contain information about future volatility? Evidence from the Petrobras options marketA Volatilidade implícita contém informações sobre a volatilidade futura? Evidências do mercado de opções de ações da PetrobrasOptionsvolatilitymarket efficiencyOpçõesvolatilidadeeficiência de mercadoThe aim of this work is to study the relationship between implied and realized volatilities. For this purpose, we analyze the markets of Petrobras stocks and calls between January 2006 and December 2008. Regression analysis with no overlapping monthly data of in-the-money, at-the-money and out-of-the-money calls indicates that the implied volatility of out-of-the-money options contains more information about future volatility than does historical volatility. On the other hand, the implied volatility of the in-the-money and at-the-money calls has poor explanatoryO objetivo deste estudo é determinar a relação entre a volatilidade implícita e a realizada. Para tal, nós analisamos os mercados de ações e de opções de compra de Petrobras no período de janeiro de 2006 até dezembro de 2008. Através da análise de regressões com dados mensais e sem sobreposição de opões in-the-money, at-the-money e out-of-the-money, observamos que a volatilidade implícita das opções out-of-themoney contém mais informações sobre a volatilidade futura do que a volatilidade histórica. Já as volatilidades implícitas in-the-money e at-the-money apresentaram fraco poder explanatório da volatilidade futura.FUCAPE Business Shool2010-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/35910.15728/bbr.2010.7.1.3Brazilian Business Review; Vol. 7 No. 1 (2010): January to April 2010; 42-58Brazilian Business Review; v. 7 n. 1 (2010): Janeiro a Abril de 2010; 42-581808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/359/545http://www.bbronline.com.br/index.php/bbr/article/view/359/546Vicente, José Valentim MachadoGuedes, Tiago de Sousainfo:eu-repo/semantics/openAccess2018-11-06T19:57:32Zoai:ojs.pkp.sfu.ca:article/359Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:57:32BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Does implied volatility contain information about future volatility? Evidence from the Petrobras options market
A Volatilidade implícita contém informações sobre a volatilidade futura? Evidências do mercado de opções de ações da Petrobras
title Does implied volatility contain information about future volatility? Evidence from the Petrobras options market
spellingShingle Does implied volatility contain information about future volatility? Evidence from the Petrobras options market
Vicente, José Valentim Machado
Options
volatility
market efficiency
Opções
volatilidade
eficiência de mercado
title_short Does implied volatility contain information about future volatility? Evidence from the Petrobras options market
title_full Does implied volatility contain information about future volatility? Evidence from the Petrobras options market
title_fullStr Does implied volatility contain information about future volatility? Evidence from the Petrobras options market
title_full_unstemmed Does implied volatility contain information about future volatility? Evidence from the Petrobras options market
title_sort Does implied volatility contain information about future volatility? Evidence from the Petrobras options market
author Vicente, José Valentim Machado
author_facet Vicente, José Valentim Machado
Guedes, Tiago de Sousa
author_role author
author2 Guedes, Tiago de Sousa
author2_role author
dc.contributor.author.fl_str_mv Vicente, José Valentim Machado
Guedes, Tiago de Sousa
dc.subject.por.fl_str_mv Options
volatility
market efficiency
Opções
volatilidade
eficiência de mercado
topic Options
volatility
market efficiency
Opções
volatilidade
eficiência de mercado
description The aim of this work is to study the relationship between implied and realized volatilities. For this purpose, we analyze the markets of Petrobras stocks and calls between January 2006 and December 2008. Regression analysis with no overlapping monthly data of in-the-money, at-the-money and out-of-the-money calls indicates that the implied volatility of out-of-the-money options contains more information about future volatility than does historical volatility. On the other hand, the implied volatility of the in-the-money and at-the-money calls has poor explanatory
publishDate 2010
dc.date.none.fl_str_mv 2010-01-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/359
10.15728/bbr.2010.7.1.3
url http://www.bbronline.com.br/index.php/bbr/article/view/359
identifier_str_mv 10.15728/bbr.2010.7.1.3
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/359/545
http://www.bbronline.com.br/index.php/bbr/article/view/359/546
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 7 No. 1 (2010): January to April 2010; 42-58
Brazilian Business Review; v. 7 n. 1 (2010): Janeiro a Abril de 2010; 42-58
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
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