Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation
نویسندگان
چکیده
منابع مشابه
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as an additional forecasting variabl...
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متن کاملCointegration, Fractional Cointegration, and Exchange Rate Dynamics
Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated proce...
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Research has consistently found that implied volatility is a conditionally biased predictor of realized volatility across asset markets. This paper evaluates explanations for this bias in the market for options on foreign exchange futures. No solution considered—including a model of priced volatility risk—explains the conditional bias found in implied volatility. Further, while implied volatili...
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This paper studies the relation between implied and realized volatility by using daily S&P 500 index option price over the period between January 1995 and December 1999. In particular, we want to test the how different measurement errors affect the stability of this relationship. Two sources of measurement errors are considered. The first one is the measurement error in realized volatility. Fou...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.968195