文章基本信息

标题：Uso da Estrutura a Termo das Volatilidades Implícitas das Opções de Soja do CME Group para Previsões em Mato Grosso
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作者：Souza, Waldemar Antonio da Rocha de ; Martines-Filho, João Gomes ; Marques, Pedro Valentim 等
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2013
页码：255-274
出版社：Journal of Agribusiness
摘要：The term structure of options with future expiration dates traded at the CME Group is calculated to forecast short and long-term realized volatility and price level of soybean spot prices in Rondonópolis (Mato Grosso State). Extracting the implied volatility with the Black (1976) model for commodities option pricing, the implied volatility variance is decomposed in known and unknown intervals, used to forecast short and long-term realized volatility. In addition, the implied volatility is used as a parameter in an empirical confidence interval equation to forecast the short and long-term price level, using the interval upper limit. Predictive efficiency tests indicate that the forecasts of realized volatility based on the implied volatility have greater degree of efficiency in the short term, while the naïve estimate is more efficient in the long-term. The empirical confidence interval price level upper limit forecasts are more efficient in the long-term and the naïve estimates show more efficiency in the short-term.
关键词：Mato Grosso;soybean;implied volatility;volatility and price forecasts;options markets.