Earticle

초록

영어

This paper investigates the information content of the risk-neutral skewness derived from S&P 500 index option prices for forecasting future volatility. Empirical results show that the risk-neutral skewness provides incremental explanatory power for future volatility. Moreover, the models with the risk-neutral skewness dominate in terms of out-of-sample forecasting performance, especially during the 2007-2008 financial crisis.

목차

Abstract
 1. Introduction
 2. The relation between the physical volatility and the higher-order moments of the risk-neutral distribution
 3. Volatility Measurement and Model Specification
  3.1 Measuring Volatility
  3.2 Volatility Forecasting Model
 4. Empirical results
  4.1 Data
  4.2 Risk-Neutral Skewness
  4.3 The information of the risk-neutral skewness for continuous volatility component
  4.4 The information of the risk-neutral skewness for the realized volatility
  4.5 Performance Criteria
  4.6 Out-of-Sample Forecasting Performance
 5. Robustness check
  5.1 The information of the risk-neutral excess kurtosis for future volatility
  5.2 The information of the implied volatility skew for future volatility
  5.3 The information of the physical skewness for future volatility
  5.4 The information of the model free implied skew
 6. Conclusion
 Reference
 Table

저자

• Suk Joon Byun [ KAIST Business School, Korea ]
• Jun Sik Kim [ KAIST Business School, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330