Oikonomou, Ioannis and Stancu, Andrei and Symeonidis, Lazaros and Wese Simen, Chardin (2019) 'The information content of short-term options.' Journal of Financial Markets, 46. ISSN 1386-4181
![]() |
Text
The Information Content of Short-Term Options.pdf - Accepted Version Restricted to Repository staff only until 1 February 2021. Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (305kB) |
Abstract
We exploit weekly options on the S&P 500 index to compute the weekly implied variance. We show that the weekly implied variance is a strong predictor of the weekly realized variance. In an encompassing regression test, it crowds out the information content of the monthly implied variance. Further tests reveal that the weekly implied variance outperforms not only the monthly implied variance but also well-established time series models of realized variance. This result holds both in- and out-of-sample and the forecast accuracy gains are significant.
Item Type: | Article |
---|---|
Uncontrolled Keywords: | Implied variance, Predictability, Realized variance, Weekly options |
Divisions: | Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
Depositing User: | Elements |
Date Deposited: | 28 Jan 2020 13:01 |
Last Modified: | 28 Jan 2020 13:15 |
URI: | http://repository.essex.ac.uk/id/eprint/26583 |
Actions (login required)
![]() |
View Item |