MARKET VOLATILITY PREDICTION AND THE EFFICIENCY OF THE S-AND-P-100 INDEX OPTION MARKET
成果类型：
Article
署名作者：
HARVEY, CR; WHALEY, RE
署名单位：
University of Chicago
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(92)90011-L
发表日期：
1992
页码：
43-73
关键词：
摘要：
Most models of market volatility use either past returns or ex post volatility to forecast volatility. In this paper, the dynamic behavior of market volatility is assessed by forecasting the volatility implied in the transaction prices of Standard & Poor's 100 index options. We test and reject the hypothesis that volatility changes are unpredictable. However, while our statistical model delivers precise forecasts, abnormal returns are not possible in a trading strategy (based on daily out-of-sample volatility projections) which takes transaction costs into account, suggesting that predictable time-varying volatility is consistent with market efficiency.