Victoria University

Forecasting the Term Structure of Implied Volatilities

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Show simple item record Guo, Biao Han, Qian Lin, Hai 2017-03-31T00:19:55Z 2017-03-31T00:19:55Z 2015 2015
dc.description.abstract Neumann and Skiadopoulos (2013) document that although the implied volatilities are predictable, their economic pro ts become insignificant once the cost is accounted for. We show that the trading strategies based on the predictability of implied volatilities could generate significant risk-adjusted returns after controlling for the transaction cost. The implied volatility curve information is useful for the out-of-sample forecast of implied volatilities up to one week. Short-maturity implied volatilities tend to be more predictable than long-maturity implied volatilities. Although the long-maturity options are much less traded than the short-maturity options, their implied volatilities provide much more information on the price discovery. en_NZ
dc.language.iso en_NZ
dc.publisher Victoria University of Wellington en_NZ
dc.subject Volatilities en_NZ
dc.subject Trading strategies en_NZ
dc.subject Maturity options en_NZ
dc.title Forecasting the Term Structure of Implied Volatilities en_NZ
dc.type Text en_NZ
vuwschema.contributor.unit University Library en_NZ
vuwschema.type.vuw Working or Occasional Paper en_NZ
vuwschema.subject.anzsrcfor 150201 Finance en_NZ
vuwschema.subject.anzsrcfor 150205 Investment and Risk Management en_NZ
vuwschema.subject.anzsrcseo 970115 Expanding Knowledge in Commerce, Management, Tourism and Services en_NZ

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