基于期权的波动率预测的信息含量:来自意大利股市的证据

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2013-09-19 DOI:10.1142/S2010139213500055
S. Muzzioli
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引用次数: 20

摘要

本文的目的是全面比较基于期权的波动率指标,最终计划为意大利股市设计一个新的波动率指数。不同的隐含波动率指标在预测未来波动率方面的表现分别在统计和经济环境中进行了评估。通过观察隐含波动率变化与市场回报之间的同期关系以及所提出的指数在预测未来市场回报方面的有用性,还探讨了隐含波动率指标的性质。本文的研究结果对政策制定者和投资者都具有重要的现实意义。基于走廊措施的波动率指数可用于预测市场波动率,用于风险价值的目的,以便确定基础指数的交易策略,并作为未来市场状况的早期预警。
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The Information Content of Option-Based Forecasts of Volatility: Evidence from the Italian Stock Market
The aim of this paper is to comprehensively compare option-based measures of volatility, with the ultimate plan of devising a new volatility index for the Italian stock market. The performance of the different implied volatility measures in forecasting future volatility is evaluated both in a statistical and in an economic setting. The properties of the implied volatility measures are also explored, by looking at both the contemporaneous relationship between implied volatility changes and market returns and the usefulness of the proposed index in forecasting future market returns.The results of the paper are of practical importance for both policy-makers and investors. The volatility index, based on corridor measures, could be used to forecast market volatility, for value at risk purposes, in order to determine trading strategies on the underlying index and as an early warning for future market conditions.
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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