Implied volatility as an estimator or realised volatility an investigation using OTC currency options

Implied volatility as an estimator or realised volatility an investigation using OTC currency options

Implied volatility in option prices is supposed to be the market's best estimate of future volatility. As such, a number of studies have investigated the performance of implied volatility in forecasting future volatility. However, most of the studies use data derived from exchange-traded option...

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Bibliographic Details
Main Authors: Chew, Chung Han., Lee, Wee King., Yong, Cher Wee.
Other Authors: Covrig, Marian Vicentiu
Format: Theses and Dissertations
Published: 2008
Subjects:
DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems
Online Access:http://hdl.handle.net/10356/4116
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Institution: Nanyang Technological University
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Summary:Implied volatility in option prices is supposed to be the market's best estimate of future volatility. As such, a number of studies have investigated the performance of implied volatility in forecasting future volatility. However, most of the studies use data derived from exchange-traded options. Our paper sets out to test the performance of implied volatility, derived from OTC currency options, a much larger and liquid market, as a future volatility forecast.

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