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| 篇名 | Whether the Model-Free Implied Volatilities embedded in option price have the superior information to realized volatility-Evidences on Taiwan Option Market |
|---|---|
| 卷期 | 9:2 |
| 作者 | 袁淑芳 |
| 頁次 | 094-103 |
| 關鍵字 | mode-free implied volatility 、 Black-Scholes implied volatility 、 realized volatility 、 continuous volatility 、 jump volatility |
| 出刊日期 | 202009 |
| DOI | 10.6285/MIC.202009_9(2).0008 |
中文摘要
英文摘要
This article examines the explanatory power of three model-free implied volatilities to the realized volatility. Our evidence shows that the model-free implied volatility outperforms the Black-Scholes implied volatility in long-horizon forecasting. The volatility measure of CBOE VXO subsume the information in the Black-Scholes implied volatility. The superior volatility forecasting power of the more advanced models may be attributed to their ability in modeling the components of realized volatility including the continuous volatility and the jump volatility.