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Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach Author info | Abstract | Publisher info | Download info | Related research | Statistics Amin, Kaushik I
Ng, Victor K
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.
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Article provided by Oxford University Press for Society for Financial Studies in its journal Review of Financial Studies .
Volume (Year): 10 (1997)
Issue (Month): 2 ()
Pages: 333-67
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Handle: RePEc:oup:rfinst:v:10:y:1997:i:2:p:333-67Contact details of provider: Postal: Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA. Fax: 919-677-1714 Email: Web page: http://www.rfs.oupjournals.org/ More information through EDIRC
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