On the relation between implied and realized volatility indices: Evidence from the BRIC countries
| Autor: | Sónia R. Bentes |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Distributed lag 050208 finance Relation (database) Realized variance 05 social sciences Implied volatility Condensed Matter Physics 01 natural sciences 010305 fluids & plasmas BRIC Autoregressive model 0502 economics and business 0103 physical sciences Ordinary least squares Forward volatility Econometrics Mathematics |
| Zdroj: | Physica A: Statistical Mechanics and its Applications. 482:243-248 |
| ISSN: | 0378-4371 |
| DOI: | 10.1016/j.physa.2017.04.071 |
| Popis: | This paper investigates the relation between implied (IV) and realized volatility (RV). Using monthly data from the BRIC countries, we assess the informational content of IV in explaining future RV as well as its unbiasedness and efficiency. We employ an ADL (Autoregressive Distributed Lag) and the corresponding EC (Error Correction) model and compare the results with the ones obtained from the OLS regression. Our goal is to assess the fully dynamical relations between these variables and to separate the short from the long-run effects. We found different results for the informational content of IV according to the methodologies used. However, both methods show that IV is an unbiased estimate of RV for India and that IV was not found to be efficient in any of the BRIC countries. Further, EC results reveal the presence of short and long-run effects for India, whereas Russia exhibits only short-run adjustments. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect