Earticle

초록

영어

The ad hoc Black-Scholes model is one of the most widely used models for forecasting implied volatility. In this paper, we propose a methodology that provides more accurate out-of-sample implied volatility forecasts. Standard approaches estimate the whole volatility smile using both out-of-the-money puts and calls. The improvements from our method are obtained by taking advantage of information contained in the asymmetric slopes of the put and call implied volatility sneers that result in a discontinuity when moneyness is equal to 1. These improvements in out-of-sample implied volatility forecasts are large and significant. Our results are robust across several dimensions, including: time period, forecast horizon, moneyness, and model specification.

목차

Abstract
 I Introduction
 II Literature, Data, and Market Background
  A Literature Review
  B Data
  C Korean stock market
  D Korean options market
 III Methodology
  A Ad hoc Black-Scholes models
  B Forward-implied dividend calculation
  C Error measures
  D Parameter estimation
 IV INS Empirical Results
 V OOS Empirical Results
  A CON vs. SEP methodology
 VI Cubic vs. Quadratic AHBS
 VII 2008 & 2009 Robustness Tests
 VIII Discussion and Conclusion
 REFERENCES
 Table
 Figure

키워드

저자

• Youngsoo Choi [ Department of Mathematics Hankuk University of Foreign Studies Gyeonggi-do, Korea ]
• Steven J. Jordan [ Econometric Solutions Fossil Park Drive Fort Worth, TX 76101 ]
• Wonchang Lee [ Hi Investment & Securities Co., Ltd. Seoul, Korea ]

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간행물

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330