Acceso usuarios
Eui Jung Chung, Benjamin M. Tabak
This article examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in past returns. Using Generalized Method of Movements [GMM] estimation consistent with telescoping observations evidence suggests that implied volatilities give superior forecasts of realized volatility if compared with Generalized Autoregressive Conditional Heteroskedasticity [GARCH] (p, q) and moving average predictors. Besides, econometric models do not add significant information to that contained in implied volatilities.
