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

• 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
• Institution: Nanyang Technological University

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...