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題名:Whether the Model-Free Implied Volatilities Embedded in Option Price Have the Superior Information to Realized Volatility--Evidences on Taiwan Option Market
書刊名:管理資訊計算
作者:袁淑芳
作者(外文):Yuan, Shu-fang
出版日期:2020
卷期:9:2
頁次:頁94-103
主題關鍵詞:Mode-free implied volatilityBlack-Scholes implied volatilityRealized volatilityContinuous volatilityJump volatility
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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This article examines the explanatory power of three model-free implied volatilities to the realized volatility. Our evidence shows that the model-free implied volatility outperforms the Black-Scholes implied volatility in long-horizon forecasting. The volatility measure of CBOE VXO subsume the information in the Black-Scholes implied volatility. The superior volatility forecasting power of the more advanced models may be attributed to their ability in modeling the components of realized volatility including the continuous volatility and the jump volatility.
期刊論文
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