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  • 标题:The information content of implied volatility in agricultural commodity markets
  • 本地全文:下载
  • 作者:Pierre GIOT
  • 期刊名称:CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
  • 出版年度:2002
  • 卷号:2002
  • 出版社:Center for Operations Research and Econometrics (UCL), Louvain
  • 摘要:In this paper we compare the incremental information content of lagged implied volatility to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the relevance of the additional information provided by the implied volatility in a risk management framework. It is first shown that past squared returns only marginally improve the information content provided by the lagged im- plied volatility. Secondly, Value-at-Risk (VaR) models that rely exclusively on lagged implied volatility perform as well as VaR models where the conditional variance is modelled according to GARCH type processes. These results indicate that the implied volatility for options on future contracts in agricultural commodity markets has a high information content regarding conditional variance and VaR forecasts.
  • 关键词:Implied volatility, GARCH, Value-at-Risk, futures, agricultural commodity markets
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