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

Ralf Becker; Adam Clements; Scott I. White

doi:10.1016/j.jbankfin.2006.11.013

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Journal of Banking & Finance Vol. 31 No. 8 2007

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

Ralf Becker¹; Adam Clements²; Scott I. White²

¹ University of Manchester · ² Queensland University of Technology

open access

Abstract

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.

DOI: 10.1016/j.jbankfin.2006.11.013
Volume: 31
Issue: 8
Pages: 2535-2549
Language: en
Sources: openalex crossref bibtex:phds-export.bib

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

Abstract

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