Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach
Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach
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从欧洲美元期权隐含波动率信息推断未来波动率：一种新方法
DOI：
10.1093/rfs/10.2.333
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发表时间：
1997
影响因子：
8.2
通讯作者：
Victor K. Ng
中科院分区：
文献类型：
--
作者：
Kaushik I. Amin;Victor K. Ng
相对于欧洲美元期权市场上流行的历史波动率模型，我们从Heath-Jrow-Morton(1992)(HJM)模型的几种波动率规范中研究了隐含波动率的信息含量。HJM模型的隐含波动率解释了已实现利率波动率在每日和每月范围内的大部分变化。Glosten等人表示，隐含波动率在GARCH条款中占据主导地位。(1993)类非对称波动率条件，以及利率水平。然而，它不能解释利率冲击对波动率的影响在低利率时低于高利率时。牛津大学出版社代表金融研究学会在其期刊《金融研究评论》上发表的文章。
We study the information content of implied volatility from several volatility specifications of the Heath-Jarrow-Morton (1992) (HJM) models relative to popular historical volatility models in the Eurodollar options market. The implied volatility from the HJM models explains much of the variation of realized interest rate volatility over both daily and monthly horizons. The implied volatility dominates the GARCH terms, the Glosten et al. (1993) type asymmetric volatility terms, and the interest rate level. However, it cannot explain that the impact of interest rate shocks on the volatility is lower when interest rates are low than when they are high. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
影响因子：
6.1
作者：
ENGLE, RF;LILIEN, DM;ROBINS, RP
通讯作者：
ROBINS, RP