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The forecast quality of CBOE implied volatility indexes

The forecast quality of CBOE implied volatility indexes We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to provide even higher quality forecasts of future volatility. We further find that attenuation biases induced by the econometric problem of errors in variables appear to have largely disappeared from CBOE volatility index data since 1995. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:339–373, 2005 http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Futures Markets Wiley

The forecast quality of CBOE implied volatility indexes

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References (28)

Publisher
Wiley
Copyright
© 2005 Wiley Periodicals, Inc.
ISSN
0270-7314
eISSN
1096-9934
DOI
10.1002/fut.20148
Publisher site
See Article on Publisher Site

Abstract

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to provide even higher quality forecasts of future volatility. We further find that attenuation biases induced by the econometric problem of errors in variables appear to have largely disappeared from CBOE volatility index data since 1995. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:339–373, 2005

Journal

The Journal of Futures MarketsWiley

Published: Apr 1, 2005

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