Does implied volatility contain information about future volatility? Evidence from the Petrobras options market
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Data de Publicação: | 2010 |
Outros Autores: | |
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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BBR. Brazilian Business Review (English edition. Online) |
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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 |
_version_ |
1754732238499479552 |