The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks

Research output: Working paperResearch

Standard

The Forecast Performance of Competing Implied Volatility Measures : The Case of Individual Stocks. / Tsiaras, Leonidas.

Aarhus : Aarhus School of Business, Aarhus University, Department of Business Studies, 2009.

Research output: Working paperResearch

Harvard

Tsiaras, L 2009 'The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks' Aarhus School of Business, Aarhus University, Department of Business Studies, Aarhus.

APA

Tsiaras, L. (2009). The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks. Aarhus: Aarhus School of Business, Aarhus University, Department of Business Studies.

CBE

Tsiaras L. 2009. The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks. Aarhus: Aarhus School of Business, Aarhus University, Department of Business Studies.

MLA

Tsiaras, Leonidas The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks. Aarhus: Aarhus School of Business, Aarhus University, Department of Business Studies. 2009., 37 p.

Vancouver

Tsiaras L. The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks. Aarhus: Aarhus School of Business, Aarhus University, Department of Business Studies. 2009.

Author

Tsiaras, Leonidas. / The Forecast Performance of Competing Implied Volatility Measures : The Case of Individual Stocks. Aarhus : Aarhus School of Business, Aarhus University, Department of Business Studies, 2009.

Bibtex

@techreport{b2e15c10203611de95c8000ea68e967b,
title = "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks",
abstract = "This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and {"}model-free{"} implied volatility expectations, the recently proposed corridor implied volatility (CIV) measures are explored. For all pair-wise comparisons, it is found that a CIV measure that is closely related to the model-free implied volatility, nearly always delivers the most accurate forecasts for the majority of the firms. This finding remains consistent for different forecast horizons, volatility definitions, loss functions and forecast evaluation settings.",
author = "Leonidas Tsiaras",
year = "2009",
language = "English",
publisher = "Aarhus School of Business, Aarhus University, Department of Business Studies",
type = "WorkingPaper",
institution = "Aarhus School of Business, Aarhus University, Department of Business Studies",

}

RIS

TY - UNPB

T1 - The Forecast Performance of Competing Implied Volatility Measures

T2 - The Case of Individual Stocks

AU - Tsiaras, Leonidas

PY - 2009

Y1 - 2009

N2 - This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and "model-free" implied volatility expectations, the recently proposed corridor implied volatility (CIV) measures are explored. For all pair-wise comparisons, it is found that a CIV measure that is closely related to the model-free implied volatility, nearly always delivers the most accurate forecasts for the majority of the firms. This finding remains consistent for different forecast horizons, volatility definitions, loss functions and forecast evaluation settings.

AB - This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and "model-free" implied volatility expectations, the recently proposed corridor implied volatility (CIV) measures are explored. For all pair-wise comparisons, it is found that a CIV measure that is closely related to the model-free implied volatility, nearly always delivers the most accurate forecasts for the majority of the firms. This finding remains consistent for different forecast horizons, volatility definitions, loss functions and forecast evaluation settings.

M3 - Working paper

BT - The Forecast Performance of Competing Implied Volatility Measures

PB - Aarhus School of Business, Aarhus University, Department of Business Studies

CY - Aarhus

ER -