The DOI matches its Crossref record; 32 of the 32 references it cites were found in a registry or an index.
Predicting Volatility in the Foreign Exchange Market
Abstract
Measures of volatility implied in option prices are widely believed to be the best available volatility forecasts. In this article, we examine the information content and predictive power of implied standard deviations (ISDs) derived from Chicago Mercantile Exchange options on foreign currency futures. The article finds that statistical time‐series models, even when given the advantage of “ex post” parameter estimates, are outperformed by ISDs. ISDs, however, also appear to be biased volatility forecasts. Using simulations to investigate the robustness of these results, the article finds that measurement errors and statistical problems can substantially distort inferences. Even accounting for these, however, ISDs appear to be too variable relative to future volatility.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.1080/01621459.1979.10482531 · Cited by 23,211
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.2307/2286348 · Cited by 9,106
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
Maximum Likelihood Estimation of Misspecified Models
White, H. (1982) · Econometrica · doi:10.2307/1912526 · Cited by 4,098
The Pricing of Options on Assets with Stochastic Volatilities
HULL, J., & WHITE, A. (1987) · The Journal of Finance · doi:10.1111/j.1540-6261.1987.tb02568.x · Cited by 3,807
Cited by
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
Metadata
- Authors
- JORION, P.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1995-06
- Volume
- 50
- Issue
- 2
- Pages
- 507-528
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2120925732
- Cited by
- 722
- References
- 32
- FWCI
- 25.22
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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