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Does implied volatility provide any information beyond that captured in model-based volatility forecasts?

Journal of Banking & Finance 2007 31(8), 2535-2549 open access
This paper contributes to our understanding of the informational content of implied volatility. Here we examine whether the S&P 500 implied volatility index (VIX) contains any information relevant to future volatility beyond that available from model based volatility forecasts. It is argued that this approach differs from the traditional forecast encompassing approach used in earlier studies. The findings indicate that the VIX index does not contain any such additional information relevant for forecasting volatility.