On the informational efficiency of S&P500 implied volatility

Becker, Ralf, Clements, Adam E., & White, Scott I. (2006) On the informational efficiency of S&P500 implied volatility. The North American Journal of Economics and Finance, 17(2), pp. 139-153.

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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.

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ID Code: 8381
Item Type: Journal Article
Refereed: Yes
Additional Information: For more information, please refer to the journal's website (see hypertext link) or contact the author.
Author contact details: a.clements@qut.edu.au
Keywords: Implied volatility, Information, Realized volatility, VIX index
DOI: 10.1016/j.najef.2005.10.002
ISSN: 1062-9408
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 00:00
Last Modified: 26 May 2015 05:19

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