On the informational efficiency of S&P500 implied volatility
Implied volatility is often considered to represent a market’s prediction of future volatility. If such a market was to generate efficient volatility forecasts, implied volatility should reflect all relevant conditioning information. The purpose of this paper is to determine whether a publicly available and commonly used implied volatility index, the VIX index (as published by the Chicago Board of Options Exchange) is in fact efficient with respect to a wide set of conditioning information. Results indicate that the VIX index is not efficient with respect to all elements in the information set that may be used to form volatility forecasts.
Impact and interest:
Citation countsare sourced monthly fromand citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
|Item Type:||Journal Article|
|Additional Information:||For more information, please refer to the journal's website (see hypertext link) or contact the author. Author contact details: firstname.lastname@example.org|
|Keywords:||Implied volatility, Information, Realized volatility, VIX index|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2006 Elsevier|
|Deposited On:||02 Jul 2007|
|Last Modified:||29 Feb 2012 23:19|
Repository Staff Only: item control page