文章基本信息

标题：Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options
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作者：Egelkraut, Thorsten M. ; Garcia, Philip
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2006
卷号：37
期号：12
页码：508-528
出版社：Food Distribution Research Society
摘要：Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs, volatility is less predictable and investors appear to demand a risk premium for bearing volatility risk.
关键词：agricultural commodity;efficiency;forecasts;implied forward volatility;options