HISTORICAL AND IMPLIED VOLATILITIES: A REVIEW OF METHODOLOGY

• Authors: Monika Krawiec
• Languages of publication: EN

Abstracts

EN

Volatility is a subject of numerous studies. Many of them focus on predictive power of different sources of volatility. Most often, the Black-Scholes implied volatility is believed to outperform historical volatility, although some research demonstrates that implied volatility is a biased forecast of future volatility. Taken into account different opinions, the paper aims at presenting alternative methods for estimating volatility.

Keywords

EN

historical volatility; Black-Scholes implied volatility; model-free implied volatility

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2013
• Volume: 14
• Issue: 1
• Pages: 304-316

Dates

published

2013

Contributors

author

Monika Krawiec

• Department of Econometrics and Statistics Warsaw University of Life Sciences – SGGW

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