Predicting S&P 500 volatility for intermediate time horizons using implied forward volatility

被引：1

作者：

Egelkraut, Thorsten M. ^{[1
]}

Garcia, Philip ^{[2
]}

机构：

[1] Oregon State Univ, Corvallis, OR 97331 USA

[2] Univ Illinois, Urbana, IL 61801 USA

来源：

APPLIED ECONOMICS LETTERS | 2008年 / 15卷 / 01期

关键词：

D O I：

10.1080/13504850600689915

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper finds that the implied forward volatility of S&P 500 futures options contains significant explanatory power regarding sunsequent realized volatility during intermediate future time intervals. It provides rational, unbiased, and informationally efficient predictions and dominates all alternative volatility forecasts considered.

引用

页码：31 / 34

页数：4

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