The relation between implied and realized volatility

• 成果类型: Article
• 署名作者: Christensen, BJ; Prabhala, NR
• 署名单位: Aarhus University; Yale University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00034-8
• 发表日期: 1998
• 页码: 125-150
• 关键词: options; volatility; stock market crash; INFORMATION; market efficiency

摘要

Previous research finds the volatility implied by S&P 100 index option prices to be a biased and inefficient forecast of future volatility and to contain little or no incremental information beyond that in past realized volatility. In contrast, we find that implied volatility outperforms past volatility in forecasting future volatility and even subsumes the information content of past volatility in some of our specifications. Our results differ from previous studies because we use longer time series and nonoverlapping data. A regime shift around the October 1987 crash explains why implied volatility is more biased in previous work. (C) 1998 Elsevier Science S.A. All rights reserved.