Abstract

This paper finds that the implied forward volatility of S&P 500 futures options contains significant explanatory power regarding sunsequent realized volatility during intermediate future time intervals. It provides rational, unbiased, and informationally efficient predictions and dominates all alternative volatility forecasts considered.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call