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1.
This paper investigates volatility contagion across U.S. and European stock markets during the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC). Using a sample of international implied volatility indices on daily changes, I explore asymmetric conditional correlation dynamics across stable and crisis periods and across the different phases of both crises. Empirical evidence indicates the existence of contagion in cross-market volatilities. A different pattern of infection is observed across the phases, since the early phase of the GFC and the late period of escalation of the Euro crisis are the most contagious periods. This implies that the initial signal of the two crises has been differently recognized by implied volatility markets. The results provide important implications for the effectiveness of international portfolio diversification and volatility hedging during periods of negative shocks. 相似文献
2.
This paper develops a model of asymmetric information in which an investor has information regarding the future volatility
of the price process of an asset and trades an option on the asset. The model relates the level and curvature of the smile
in implied volatilities as well as mispricing by the Black-Scholes model to net options order flows (to the market maker).
It is found that an increase in net options order flows (to the market maker) increases the level of implied volatilities
and results in greater mispricing by the Black-Scholes model, besides impacting the curvature of the smile. The liquidity
of the option market is found to be decreasing in the amount of uncertainty about future volatility that is consistent with
existing evidence.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
3.
Market implied liquidity links the pricing of European options under stochastic volatility with the Conic Finance theory of two prices 相似文献
4.
Using unique minute-by-minute data on six major country implied volatility series, we examine the spillovers and the leadership positions of the global stock exchanges through measuring and assigning the contributions of innovations among their implied volatilities. The entire analyses are performed on synchronized transactions. A hybrid leadership methodology that is computationally efficient is employed. In nearly all cases, the findings indicate a clear relative leadership position for one or more exchanges. These, in turn, provide important insights into the operations of the markets and convey the dynamic process among them. We also address the transmission mechanism and volatility efficiency. 相似文献
5.
Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market
This study examines the Chinese implied volatility index (iVIX) to determine whether jump information from the index is useful for volatility forecasting of the Shanghai Stock Exchange 50ETF. Specifically, we consider the jump sizes and intensities of the 50ETF and iVIX as well as cojumps. The findings show that both the jump size and intensity of the 50ETF can improve the forecasting accuracy of the 50ETF volatility. Moreover, we find that the jump size and intensity of the iVIX provide no significant predictive ability in any forecasting horizon. The cojump intensity of the 50ETF and iVIX is a powerful predictor for volatility forecasting of the 50ETF in all forecasting horizons, and the cojump size is helpful for forecasting in short forecasting horizon. In addition, for a one-day forecasting horizon, the iVIX jump size in the cojump is more predictive of future volatility than that of the 50ETF when simultaneous jumps occur. Our empirical results are robust and consistent. This work provides new insights into predicting asset volatility with greater accuracy. 相似文献
6.
We show how bad and good volatility propagate through the forex market, i.e., we provide evidence for asymmetric volatility connectedness on the forex market. Using high-frequency, intra-day data of the most actively traded currencies over 2007–2015 we document the dominating asymmetries in spillovers that are due to bad, rather than good, volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are correlated with the subprime crisis, different monetary policies among key world central banks, and developments on commodities markets. It seems that a combination of monetary and real-economy events is behind the positive asymmetries in volatility spillovers, while fiscal factors are linked with negative spillovers. 相似文献
7.
This study extends the volatility prediction literature with (1) new intraday realized volatility measures and (2) various implied volatility indexes for commodities, currencies, and equities. Predicting volatility is important for academics, investors, and regulators. Applications range from forecasting stock and option returns to constructing early warning systems. Using twenty-three Chicago Board Options Exchange VIX indexes, as opposed to the common S&P 100 and S&P 500 equity indexes, we find a bidirectional lead-lag relationship between implied volatility and realized volatility. The lead-lag relationships are more robust and stronger using suggested intraday volatility measures than using the interday volatility measures that are common in the literature. 相似文献
8.
This paper provides an industry standard on how to quantify the shape of the implied volatility smirk in the equity index options market. Our local expansion method uses a second-order polynomial to describe the implied volatility–moneyness function and relates the coefficients of the polynomial to the properties of the implied risk-neutral distribution of the equity index return. We present a formal, two-way representation of the link between the level, slope and curvature of the implied volatility smirk and the risk-neutral standard deviation, skewness and excess kurtosis. We then propose a new semi-analytical method to calibrate option-pricing models based on the quantified implied volatility smirk, and investigate the applicability of two option-pricing models. 相似文献
9.
We investigate the impact of five recent terrorist attacks on equities listed on the Australian Stock Exchange. Following the Global Industry Classification Standard, we analyse how these events affect the different sectors in Australia. Using parametric and non-parametric tests, we investigate the relationship between stock returns for equities listed in these sectors and terrorist attacks. We report significant short term negative abnormal returns around the September 11 attacks and to a lesser extent, the Madrid and London bombings. Our evidence shows a weak positive equity response to the Bali bombing, and no response from the Mumbai attack in the Australian market. We also document negative industry abnormal returns as high as 37.30% on the day in the Utilities sector. Our findings show that systematic risk of certain sectors increased after the events of September 11 but remained unchanged for the other attacks. 相似文献
10.
The skew effect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset. Here we study the performance of the calibration of the S&P 500 implied volatility surface using the asymptotic pricing theory under fast mean-reverting stochastic volatility described in [8]. The time-variation of the fitted skew-slope parameter shows a periodic behaviour that depends on the option maturity dates in the future, which are known in advance. By extending the mathematical analysis to incorporate model parameters which are time-varying, we show this behaviour can be explained in a manner consistent with a large model class for the underlying price dynamics with time-periodic volatility coefficients.Received: December 2003, Mathematics Subject Classification (2000):
91B70, 60F05, 60H30JEL Classification:
C13, G13Jean-Pierre Fouque: Work partially supported by NSF grant DMS-0071744.Ronnie Sircar: Work supported by NSF grant DMS-0090067. We are grateful to Peter Thurston for research assistance.We thank a referee for his/her comments which improved the paper. 相似文献
11.
The prices of currency options expressed in terms of their implied volatilities and the implied correlations between foreign exchange rates at a given point in time depend on option delta and time to maturity. Implied volatilities and implied correlations likewise may thus be represented as a surface. It is well known that these surfaces exhibit both skew/smile features and term structure effects and their shapes fluctuate substantially over time. Using implied volatilities on three currency pairs as well as historical implied correlation values between them, we study the nature of these fluctuations by applying a Karhunen-Loève decomposition that is a generalization of a principal component analysis. We demonstrate that the largest share in the dynamics of these surfaces' fluctuations may be explained by exactly the same three factors, providing evidence of strong interdependences between implied correlation and implied volatility of global currency pairs. 相似文献
12.
We construct a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal. News implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars, and financial crises. In US postwar data, periods when NVIX is high are followed by periods of above average stock returns, even after controlling for contemporaneous and forward-looking measures of stock market volatility. News coverage related to wars and government policy explains most of the time variation in risk premia our measure identifies. Over the longer 1890–2009 sample that includes the Great Depression and two world wars, high NVIX predicts high future returns in normal times and rises just before transitions into economic disasters. The evidence is consistent with recent theories emphasizing time variation in rare disaster risk as a source of aggregate asset prices fluctuations. 相似文献
13.
The objective of this study is to analyse volatility transmission between the US and Eurozone stock markets considering the financial market responses to the September 11, March 11 and July 7 terrorist attacks. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the turmoil periods themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the financial market responses to the terrorist attacks. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impacts that terrorist attacks had on both markets. 相似文献
14.
Recent explanations of aggregate stock market fluctuations suggest that countercyclical stock market volatility is consistent with rational asset evaluations. In this paper, I develop a framework to study the causes of countercyclical stock market volatility. I find that countercyclical risk premia do not imply countercyclical return volatility. Instead, countercyclical stock volatility occurs if risk premia increase more in bad times than they decrease in good times, thereby inducing price–dividend ratios to fluctuate more in bad times than in good. The business cycle asymmetry in the investors’ attitude toward discounting future cash flows plays a novel and critical role in many rational explanations of asset price fluctuations. 相似文献
15.
It is well known that the normal distribution is inadequate in capturing the skewed and heavy-tailed behaviour of exchange rate returns. To this end, various flexible distributions that are capable of modelling the asymmetric and tailed behaviour of returns have been proposed. In this paper, we investigate the performance of the generalized lambda distribution (GLD) to capture the skewed and leptokurtic behaviour of exchange rate returns. We do this by conducting a comprehensive numerical study to compare the performance of the GLD against the performances of the skewed t distribution, the unbounded Johnson family of distributions and the normal inverse Gaussian (NIG) distribution. Our results suggest that in terms of the value-at-risk and expected shortfall, the GLD shows at least similar performance to the skewed t distribution and the NIG distribution. Considering the ease in GLD’s use for random variate generation in Monte Carlo simulations, we conclude that the GLD can be a good alternative in various financial applications where modelling of the heavy tail behaviour is critical. 相似文献
16.
17.
The informational content of implied volatility 总被引:14,自引:0,他引:14
Implied volatility is widely believed to be informationallysuperior to historical volatility, because it is the 'market's'forecast of future volatility. But for S&P 1 00 index options,the most actively traded contract in the United States, we findimplied volatility to be a poor forecast of subsequent realizedvolatility. In aggregate and across subsamples separated bymaturity and strike price, implied volatility has virtuallyno correlation with future volatility, and it does not incorporatethe information contained in recent observed volatility. 相似文献
18.
This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility
by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike
stock index options such as the S&P 100 index options in the US market, the S&P/ASX 200 index options are traded infrequently
and in low volumes, and have a long maturity cycle. Thus an errors-in-variables problem for measurement of implied volatility
is more likely to exist. After accounting for this problem by instrumental variable method, it is found that both call and
put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover, implied
call volatility is nearly an unbiased forecast of future volatility.
相似文献
Steven LiEmail: |
19.
Gilles Zumbach† 《Quantitative Finance》2013,13(1):101-113
This article explores the relationships between several forecasts for the volatility built from multi-scale linear ARCH processes, and linear market models for the forward variance. This shows that the structures of the forecast equations are identical, but with different dependencies on the forecast horizon. The process equations for the forward variance are induced by the process equations for an ARCH model, but postulated in a market model. In the ARCH case, they are different from the usual diffusive type. The conceptual differences between both approaches and their implication for volatility forecasts are analysed. The volatility forecast is compared with the realized volatility (the volatility that will occur between date t and t + ΔT), and the implied volatility (corresponding to an at-the-money option with expiry at t + ΔT). For the ARCH forecasts, the parameters are set a priori. An empirical analysis across multiple time horizons ΔT shows that a forecast provided by an I-GARCH(1) process (one time scale) does not capture correctly the dynamics of the realized volatility. An I-GARCH(2) process (two time scales, similar to GARCH(1,1)) is better, while a long-memory LM-ARCH process (multiple time scales) replicates correctly the dynamics of the implied and realized volatilities and delivers consistently good forecasts for the realized volatility. 相似文献
20.
In a unified model-free framework that includes long-expiry, short-expiry, extreme-strike, and jointly-varying strike-expiry regimes, we generate implied volatility and implied variance approximations, with rigorous error estimates asymptotically smaller than any given power of L, where L denotes the exogenously given absolute log of an option price that approaches zero. Our results, therefore, sharpen to arbitrarily high order of accuracy (and, moreover, extend to general extreme regimes) the model-free asymptotics of implied volatility. We then apply these general formulas to particular examples: Heston (using a previously known L expansion) and Lévy (using saddlepoint methods to derive L expansions). 相似文献