Is it worth tracking dollar/real implied volatility?
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Economia Aplicada |
Texto Completo: | https://www.revistas.usp.br/ecoa/article/view/219766 |
Resumo: | In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to February 2001. Our results are in line with recent literature, suggesting that the implied volatility obtained from a simple option pricing model, although an upward-biased estimator offuture volatility, does provide information about volatility over the remaining life ofthe option which is not present in past returns. Results are robust to the choice oftwo alternative time series models to explore information embedded in returns, a fixed volatility and a GARCH(1,1) model, even allowing for in-sample forecasts by the GARCH(1,1) model. Results are also robust to the choice ofmeasuring realized volatility in two alternative ways. |
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Economia Aplicada |
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Is it worth tracking dollar/real implied volatility?currency optionsimplied volatilityforecastinformationIn this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to February 2001. Our results are in line with recent literature, suggesting that the implied volatility obtained from a simple option pricing model, although an upward-biased estimator offuture volatility, does provide information about volatility over the remaining life ofthe option which is not present in past returns. Results are robust to the choice oftwo alternative time series models to explore information embedded in returns, a fixed volatility and a GARCH(1,1) model, even allowing for in-sample forecasts by the GARCH(1,1) model. Results are also robust to the choice ofmeasuring realized volatility in two alternative ways.Universidade de São Paulo, FEA-RP/USP2001-06-20info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/21976610.11606/1413-8050/ea219766Economia Aplicada; Vol. 5 Núm. 3 (2001); 471-489Economia Aplicada; Vol. 5 No. 3 (2001); 471-489Economia Aplicada; v. 5 n. 3 (2001); 471-4891980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/219766/200638Copyright (c) 2001 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessAndrade, Sandro Canesso de Tabak, Benjamin Miranda 2023-12-06T14:22:33Zoai:revistas.usp.br:article/219766Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-12-06T14:22:33Economia Aplicada - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Is it worth tracking dollar/real implied volatility? |
title |
Is it worth tracking dollar/real implied volatility? |
spellingShingle |
Is it worth tracking dollar/real implied volatility? Andrade, Sandro Canesso de currency options implied volatility forecast information |
title_short |
Is it worth tracking dollar/real implied volatility? |
title_full |
Is it worth tracking dollar/real implied volatility? |
title_fullStr |
Is it worth tracking dollar/real implied volatility? |
title_full_unstemmed |
Is it worth tracking dollar/real implied volatility? |
title_sort |
Is it worth tracking dollar/real implied volatility? |
author |
Andrade, Sandro Canesso de |
author_facet |
Andrade, Sandro Canesso de Tabak, Benjamin Miranda |
author_role |
author |
author2 |
Tabak, Benjamin Miranda |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Andrade, Sandro Canesso de Tabak, Benjamin Miranda |
dc.subject.por.fl_str_mv |
currency options implied volatility forecast information |
topic |
currency options implied volatility forecast information |
description |
In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to February 2001. Our results are in line with recent literature, suggesting that the implied volatility obtained from a simple option pricing model, although an upward-biased estimator offuture volatility, does provide information about volatility over the remaining life ofthe option which is not present in past returns. Results are robust to the choice oftwo alternative time series models to explore information embedded in returns, a fixed volatility and a GARCH(1,1) model, even allowing for in-sample forecasts by the GARCH(1,1) model. Results are also robust to the choice ofmeasuring realized volatility in two alternative ways. |
publishDate |
2001 |
dc.date.none.fl_str_mv |
2001-06-20 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/219766 10.11606/1413-8050/ea219766 |
url |
https://www.revistas.usp.br/ecoa/article/view/219766 |
identifier_str_mv |
10.11606/1413-8050/ea219766 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/219766/200638 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2001 Economia Aplicada http://creativecommons.org/licenses/by-nc/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2001 Economia Aplicada http://creativecommons.org/licenses/by-nc/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo, FEA-RP/USP |
publisher.none.fl_str_mv |
Universidade de São Paulo, FEA-RP/USP |
dc.source.none.fl_str_mv |
Economia Aplicada; Vol. 5 Núm. 3 (2001); 471-489 Economia Aplicada; Vol. 5 No. 3 (2001); 471-489 Economia Aplicada; v. 5 n. 3 (2001); 471-489 1980-5330 1413-8050 reponame:Economia Aplicada instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Economia Aplicada |
collection |
Economia Aplicada |
repository.name.fl_str_mv |
Economia Aplicada - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
||revecap@usp.br |
_version_ |
1800221693533224960 |