On the informational efficiency of S&P500 implied volatility
Implied volatility is often considered to represent a market's prediction of future volatility. If such a market was to generate efficient volatility forecasts, implied volatility should reflect all relevant conditioning information. The purpose of this paper is to determine whether a publicly...
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| Veröffentlicht in: | The North American journal of economics and finance 2006-08, Vol.17 (2), p.139-153 |
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| container_end_page | 153 |
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| container_issue | 2 |
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| container_title | The North American journal of economics and finance |
| container_volume | 17 |
| creator | Becker, Ralf Clements, Adam E. White, Scott I. |
| description | Implied volatility is often considered to represent a market's prediction of future volatility. If such a market was to generate efficient volatility forecasts, implied volatility should reflect all relevant conditioning information. The purpose of this paper is to determine whether a publicly available and commonly used implied volatility index, the VIX index (as published by the Chicago Board of Options Exchange) is in fact efficient with respect to a wide set of conditioning information. Results indicate that the VIX index is not efficient with respect to all elements in the information set that may be used to form volatility forecasts. |
| doi_str_mv | 10.1016/j.najef.2005.10.002 |
| format | Article |
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| identifier | ISSN: 1062-9408 |
| ispartof | The North American journal of economics and finance, 2006-08, Vol.17 (2), p.139-153 |
| issn | 1062-9408 1879-0860 |
| language | eng |
| recordid | cdi_proquest_journals_201280834 |
| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | Efficiency Forecasting techniques Implied volatility Indexes Information Realized volatility Studies VIX index Volatility |
| title | On the informational efficiency of S&P500 implied volatility |
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