The forecast quality of CBOE implied volatility indexes

Corrado, Charles J and Miller, Thomas W. Jr. 2005, The forecast quality of CBOE implied volatility indexes, Journal of futures markets, vol. 25, no. 4, pp. 339-373.

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Title The forecast quality of CBOE implied volatility indexes
Author(s) Corrado, Charles J
Miller, Thomas W. Jr.
Journal name Journal of futures markets
Volume number 25
Issue number 4
Start page 339
End page 373
Publisher John Wiley & Sons
Place of publication Malden, Mass.
Publication date 2005-04
ISSN 0270-7314
1096-9934
Keyword(s) quality
forecasts
futures exchanges
volatility
studies
Summary We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to provide even higher quality forecasts of future volatility. We further find that attenuation biases induced by the econometric problem of errors in variables appear to have largely disappeared from CBOE volatility index data since 1995.
Language eng
Field of Research 150103 Financial Accounting
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2005, Wiley Periodicals, Inc
Persistent URL http://hdl.handle.net/10536/DRO/DU:30019571

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Thu, 17 Sep 2009, 10:40:26 EST by Liz Hau

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