The aim of this paper is to investigate the relation between implied volatility, historical volatility and realised volatility in the Dax index options market. Since implied volatility varies across option type (call versus put) we run a horse race of different implied volatility estimates: implied call, implied put and average implied that is a weighted average of call and put implied volatility with weights proportional to traded volume. Two hypotheses are tested in the Dax index options market: unbiasedness and efficiency of the different volatility forecasts. Our results suggest that all the three implied volatility forecasts are unbiased (after a constant adjustment) and efficient forecasts of future realised volatility in that they subsume all the information contained in historical volatility.
Muzzioli, S.. "The relation between implied and realised volatility: are call options more informative than put options? Evidence from the DAX index options market" Working paper, CEFIN WORKING PAPERS, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2007. https://doi.org/10.25431/11380_605333
The relation between implied and realised volatility: are call options more informative than put options? Evidence from the DAX index options market
Muzzioli, S.
2007
Abstract
The aim of this paper is to investigate the relation between implied volatility, historical volatility and realised volatility in the Dax index options market. Since implied volatility varies across option type (call versus put) we run a horse race of different implied volatility estimates: implied call, implied put and average implied that is a weighted average of call and put implied volatility with weights proportional to traded volume. Two hypotheses are tested in the Dax index options market: unbiasedness and efficiency of the different volatility forecasts. Our results suggest that all the three implied volatility forecasts are unbiased (after a constant adjustment) and efficient forecasts of future realised volatility in that they subsume all the information contained in historical volatility.File | Dimensione | Formato | |
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