Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00456186" target="_blank" >RIV/67985556:_____/16:00456186 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/16:10321634
Result on the web
<a href="http://dx.doi.org/10.1016/j.econmod.2016.01.014" target="_blank" >http://dx.doi.org/10.1016/j.econmod.2016.01.014</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2016.01.014" target="_blank" >10.1016/j.econmod.2016.01.014</a>
Alternative languages
Result language
angličtina
Original language name
Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression
Original language description
The literature studying stock index options confirms severe biases and inefficiencies in using implied volatility as a forecast of future volatility. In this paper, we revisit the implied-realized volatility relationship with wavelet band least squares (WBLS) exploring the long memory of volatility, a possible cause of the bias. Using the S/&P 500 and DAX monthly and bi-weekly option prices covering the recent financial crisis, we conclude that the implied-realized volatility relation is driven solely by the lower frequencies of the spectra representing long investment horizons. The findings enable improvement of future volatility forecasts as they support unbiasedness of implied volatility as a good proxy for future volatility in the long run.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economic Modelling
ISSN
0264-9993
e-ISSN
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Volume of the periodical
54
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
33
Pages from-to
503-514
UT code for WoS article
000374195900041
EID of the result in the Scopus database
2-s2.0-84958756722