Footnote:
In: Journal of Futures Markets (2017)
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 20, 2017 erstellt
Description:
We investigate the out-of-sample predictability of implied volatility using the information over the implied volatility surface. We show that implied volatility surface is useful for the out-of -sample forecast of implied volatility up to one week ahead. Trading strategies based on the predictability of implied volatility could generate significant risk-adjusted gains after controlling for transaction costs. Significant results also depend on the way of modelling implied volatility surface. We then calibrate a two-factor stochastic volatility option pricing model to implied volatility data. Results show that implied volatility is better explained by both long-term and short-term variance factors