Forward/forward volatilities and the term structure of implied volatility

Forward/forward volatilities and the term structure of implied volatility

Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Applied economics letters 1997-05, Vol.4 (5), p.325-328
Hauptverfasser: Ap Gwilym, Owain, Buckle, Mike
Format: Artikel
Sprache:eng
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.
ISSN:1350-4851
1466-4291
DOI:10.1080/758532602