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Implied volatility forecasting in the options market: a survey

Implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility gives indication about the future volatility of the underlying asset and can be used to predict the degree to which the asset price might swing and thus whether...

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Main Author: Mohamad, Azhar
Format: Article
Language:English
Published: Penerbit UTM Press 2016
Subjects:
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/50540/1/Implied_Volatility_-_Published_in_Sains_Humanika.pdf
http://irep.iium.edu.my/50540/
http://www.sainshumanika.utm.my/index.php/sainshumanika/article/view/721/574
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spelling my.iium.irep.505402017-10-16T02:42:06Z http://irep.iium.edu.my/50540/ Implied volatility forecasting in the options market: a survey Mohamad, Azhar HG4501 Stocks, investment, speculation Implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility gives indication about the future volatility of the underlying asset and can be used to predict the degree to which the asset price might swing and thus whether the options could become profitable before expiration. Volatility forecasting can be grouped into two main categories namely option-implied volatility and historical time-series models. There is an academic debate as to which of the two methods has stronger predictive power. In this paper, we provide a review of options-implied volatility forecasting studies. This survey of the literature suggests there is no consensus to indicate that the implied volatility has stronger predictive power than historical time series in forecasting realized volatility. Penerbit UTM Press 2016-04 Article REM application/pdf en http://irep.iium.edu.my/50540/1/Implied_Volatility_-_Published_in_Sains_Humanika.pdf Mohamad, Azhar (2016) Implied volatility forecasting in the options market: a survey. Sains Humanika, 8 (2). pp. 9-18. ISSN 2289-6996 http://www.sainshumanika.utm.my/index.php/sainshumanika/article/view/721/574
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HG4501 Stocks, investment, speculation
spellingShingle HG4501 Stocks, investment, speculation
Mohamad, Azhar
Implied volatility forecasting in the options market: a survey
description Implied volatility is regarded as one of the most important variables for determining profitability in options trading. Implied volatility gives indication about the future volatility of the underlying asset and can be used to predict the degree to which the asset price might swing and thus whether the options could become profitable before expiration. Volatility forecasting can be grouped into two main categories namely option-implied volatility and historical time-series models. There is an academic debate as to which of the two methods has stronger predictive power. In this paper, we provide a review of options-implied volatility forecasting studies. This survey of the literature suggests there is no consensus to indicate that the implied volatility has stronger predictive power than historical time series in forecasting realized volatility.
format Article
author Mohamad, Azhar
author_facet Mohamad, Azhar
author_sort Mohamad, Azhar
title Implied volatility forecasting in the options market: a survey
title_short Implied volatility forecasting in the options market: a survey
title_full Implied volatility forecasting in the options market: a survey
title_fullStr Implied volatility forecasting in the options market: a survey
title_full_unstemmed Implied volatility forecasting in the options market: a survey
title_sort implied volatility forecasting in the options market: a survey
publisher Penerbit UTM Press
publishDate 2016
url http://irep.iium.edu.my/50540/1/Implied_Volatility_-_Published_in_Sains_Humanika.pdf
http://irep.iium.edu.my/50540/
http://www.sainshumanika.utm.my/index.php/sainshumanika/article/view/721/574
_version_ 1643613752187158528
score 13.211869

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