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The Behavior and Predictive Power of Implied Volatilities in Spot and Futures Options

송민섭|김도성|원재환
산업개발연구소 (kyungsung university)|2008.09|산업혁신연구 (Journal of Industrial Innovation)|제24권 제2호|pp. 189-217|DOI 10.22793/indinn.2008.24.2.010

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참고문헌

키워드

GARCHVAR내재변동성implied volatilityfutures optionspot option선물옵션현물옵션

초록

In this paper, we throughly investigate the behavior and predictive power of volatilities implied in options. Therefore, we have two important goals in this study as follows: first, through the comprehensive review on the various issues of implied volatilities, we find the lack of studies on the relation between the implied volatilities of spot options and corresponding futures options. That is, we investigate the dynamic and stochastic relationship between implied volatilities of spot and futures options. Second, we develop a meaningful prediction model of expected implied volatility by using the relationship between two volatilities. Similar to Han and Misra(1990), Harvey and Whaley(1992) and Guo(1996), we utilize time series models, such as GARCH and VAR(Vector Auto Regression) system to develop the model. Through the investigation of the relation between spot and futures options’ implied volatilities, we can get some insight about the behavior of two related markets in the various aspects, such as lead/lag relationships, and the volatility expectation formation by market participants. Also, we may obtain a better estimate of implied volatility. In addition, the results and the prediction model developed in this paper can be utilized in the future empirical research.

Abstract

In this paper, we throughly investigate the behavior and predictive power of volatilities implied in options. Therefore, we have two important goals in this study as follows: first, through the comprehensive review on the various issues of implied volatilities, we find the lack of studies on the relation between the implied volatilities of spot options and corresponding futures options. That is, we investigate the dynamic and stochastic relationship between implied volatilities of spot and futures options. Second, we develop a meaningful prediction model of expected implied volatility by using the relationship between two volatilities. Similar to Han and Misra(1990), Harvey and Whaley(1992) and Guo(1996), we utilize time series models, such as GARCH and VAR(Vector Auto Regression) system to develop the model. Through the investigation of the relation between spot and futures options’ implied volatilities, we can get some insight about the behavior of two related markets in the various aspects, such as lead/lag relationships, and the volatility expectation formation by market participants. Also, we may obtain a better estimate of implied volatility. In addition, the results and the prediction model developed in this paper can be utilized in the future empirical research.

참고문헌 (55)

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