Analyzing the forecast performance of S&P 500 index options implied volatility
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Abstract (TR)
His study examines the comparative performance of the call and put implied volatility (IV) of at-the-money European-style SPX Index Options on the S&P 500 Price Index as a precursor to the ex-post realized volatility. The results confirm that implied volatility contains valuable information regarding the ex-post realized volatility during the last decade for the S&P 500 market. The empirical findings also indicate that the put implied volatility has a higher forecast performance. Furthermore, from the wavelet estimations it has been concluded that the long-run variation of the implied volatility is consistent and unbiased in explaining the long-run variations of the ex-post realized volatility. Wavelet estimations further reveal that in the long-run put and call implied volatility contain comparable information regarding the realized volatility of the market. However, in the short-run put implied volatility dynamics have better predictive ability.
Author
Aytaç Erdemir
Institution
How to Cite
Aytaç Erdemir (Yüksek Lisans Tezi). Analyzing the forecast performance of S&P 500 index options implied volatility, 2012, İhsan Doğramacı Bilkent University.
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