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 and implied put. Two hypotheses are tested in the DAX index options market: unbiasedness and efficiency of the different volatility forecasts. Our results suggest that both 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.

The relation between implied and realised volatility in the DAX index options market / Muzzioli, Silvia. - STAMPA. - (2010), pp. 215-224. [10.1007/978-88-470-1481-7_22]

The relation between implied and realised volatility in the DAX index options market

MUZZIOLI, Silvia
2010

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 and implied put. Two hypotheses are tested in the DAX index options market: unbiasedness and efficiency of the different volatility forecasts. Our results suggest that both 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.
2010
Mathematical and Statistical Methods for Actuarial Sciences and Finance
9788847014800
Springer
ITALIA
The relation between implied and realised volatility in the DAX index options market / Muzzioli, Silvia. - STAMPA. - (2010), pp. 215-224. [10.1007/978-88-470-1481-7_22]
Muzzioli, Silvia
File in questo prodotto:
File Dimensione Formato  
pubblicazione n.31 maf2010 original.pdf

Accesso riservato

Tipologia: Versione pubblicata dall'editore
Dimensione 625.57 kB
Formato Adobe PDF
625.57 kB Adobe PDF   Visualizza/Apri   Richiedi una copia
Pubblicazioni consigliate

Licenza Creative Commons
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/617536
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 2
  • ???jsp.display-item.citation.isi??? 2
social impact