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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

Citations

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Cited by:

  1. Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019. "Implied volatility surface predictability: The case of commodity markets," Journal of Banking & Finance, Elsevier, vol. 108(C).
  2. Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
  3. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
  4. Dudley Gilder & Leonidas Tsiaras, 2020. "Volatility forecasts embedded in the prices of crude‐oil options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1127-1159, July.
  5. Oikonomou, Ioannis & Stancu, Andrei & Symeonidis, Lazaros & Wese Simen, Chardin, 2019. "The information content of short-term options," Journal of Financial Markets, Elsevier, vol. 46(C).
  6. Zheyao Pan, 2018. "A state‐price volatility index for the U.S. government bond market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 573-597, November.
  7. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
  8. Prokopczuk, Marcel & Wese Simen, Chardin, 2014. "The importance of the volatility risk premium for volatility forecasting," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 303-320.
  9. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
  10. Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021. "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 464-479.
  11. Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
  12. David Berger & Ian Dew-Becker & Stefano Giglio, 2020. "Uncertainty Shocks as Second-Moment News Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 40-76.
  13. Imlak Shaikh & Puja Padhi, 2013. "On the Linkages among Ex-ante and Ex-post Volatility: Evidence from NSE Options Market (India)," Global Business Review, International Management Institute, vol. 14(3), pages 487-505, September.
  14. Chen, Carl R. & Diltz, J. David & Huang, Ying & Lung, Peter P., 2011. "Stock and option market divergence in the presence of noisy information," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2001-2020, August.
  15. Chabi-Yo, Fousseni, 2011. "Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1971-1983, August.
  16. Sharma, Susan Sunila & Narayan, Paresh Kumar & Zheng, Xinwei, 2014. "An analysis of firm and market volatility," Economic Systems, Elsevier, vol. 38(2), pages 205-220.
  17. Choi, Jaewon & Richardson, Matthew, 2016. "The volatility of a firm's assets and the leverage effect," Journal of Financial Economics, Elsevier, vol. 121(2), pages 254-277.
  18. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015. "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 231-253.
  19. Lyócsa, Štefan & Plíhal, Tomáš & Výrost, Tomáš, 2024. "Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1275-1301.
  20. Ormos, Mihály & Timotity, Dusan, 2016. "Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring," Economic Systems, Elsevier, vol. 40(3), pages 345-354.
  21. Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
  22. Bu, Ruijun & Fu, Xi & Jawadi, Fredj, 2019. "Does the volatility of volatility risk forecast future stock returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 16-36.
  23. Dian‐Xuan Kao & Wei‐Che Tsai & Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "An analysis on the intraday trading activity of VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 158-174, February.
  24. Chen, Sipeng & Li, Gang, 2023. "Why does option-implied volatility forecast realized volatility? Evidence from news events," Journal of Banking & Finance, Elsevier, vol. 156(C).
  25. Jiang, George J. & Tian, Yisong S., 2010. "Misreaction or misspecification? A re-examination of volatility anomalies," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2358-2369, October.
  26. Kearney, Fearghal & Murphy, Finbarr & Cummins, Mark, 2015. "An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 199-216.
  27. BHARTI Bharti & Sanjeev Gupta & ASHISH KUMAR & Ratna Priya, 2025. "Firm-specific information driving herd behaviour and crash risk: empirical evidence from the Indian equity market," Future Business Journal, Springer, vol. 11(1), pages 1-16, December.
  28. Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin, 2017. "Variance risk in commodity markets," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 136-149.
  29. Jiangze Du & Shaojie Lai & Kin Keung Lai & Shifei Zhou, 2021. "A novel term structure stochastic model with adaptive correlation for trend analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5485-5498, October.
  30. Najmi Ismail Murad Samsudin & Azhar Mohamad & Imtiaz Mohammad Sifat & Zarinah Hamid, 2022. "Predictive power of implied volatility of structured call warrants: Evidence from Singapore," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4412-4430, October.
  31. Weiwei ZHANG & Tiezhu SUN & Yechi MA & Zilong WANG, 2021. "New Evidence on the Information Content of Implied Volatility of S&P 500: Model-Free versus Model-Based," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 109-121, December.
  32. Daniel Cahill & Kingsley Fong & Marvin Wee & Joey Wenling Yang, 2020. "The role of implied volatility in liquidity provision," Australian Journal of Management, Australian School of Business, vol. 45(1), pages 45-71, February.
  33. Pan, Zheyao & Chan, Kam Fong, 2018. "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 200-215.
  34. Brož, Václav & Kočenda, Evžen, 2022. "Mortgage-related bank penalties and systemic risk among U.S. banks," Journal of International Money and Finance, Elsevier, vol. 122(C).
  35. Jungmu Kim & Yuen Jung Park, 2020. "Predictability of OTC Option Volatility for Future Stock Volatility," Sustainability, MDPI, vol. 12(12), pages 1-23, June.
  36. Bams, Dennis & Blanchard, Gildas & Lehnert, Thorsten, 2017. "Volatility measures and Value-at-Risk," International Journal of Forecasting, Elsevier, vol. 33(4), pages 848-863.
  37. Silvia Muzzioli, 2013. "The Information Content of Option-Based Forecasts of Volatility: Evidence from the Italian Stock Market," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-46.
  38. Xingzhi Yao & Marwan Izzeldin, 2018. "Forecasting using alternative measures of model‐free option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 199-218, February.
  39. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
  40. Apostolos Kourtis & Raphael N. Markellos & Lazaros Symeonidis, 2016. "An International Comparison of Implied, Realized, and GARCH Volatility Forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1164-1193, December.
  41. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  42. Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E., 2017. "Accounting quality, information risk and the term structure of implied volatility around earnings announcements," Research in International Business and Finance, Elsevier, vol. 41(C), pages 445-460.
  43. Guo, Hui & Savickas, Robert, 2010. "Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1637-1649, July.
  44. Shan Lu, 2019. "Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 129-168, June.
  45. Lee, Chien-Chiang & Wang, Chih-Wei & Hsieh, Hsin-Yi & Chen, Wen-Ling, 2023. "The impact of central bank digital currency variation on firm's implied volatility," Research in International Business and Finance, Elsevier, vol. 64(C).
  46. Rui Fan & Stephen J. Taylor & Matteo Sandri, 2018. "Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 83-103, January.
  47. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Effects of the US stock market return and volatility on the VKOSPI," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, vol. 9, pages 1-34.
  48. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
  49. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
  50. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Modeling and predicting the market volatility index: The case of VKOSPI," Economics Discussion Papers 2015-7, Kiel Institute for the World Economy.
  51. Slim, Skander & Dahmene, Meriam & Boughrara, Adel, 2020. "How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 22-37.
  52. Adam Clements & Yin Liao & Yusui Tang, 2022. "Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 86-99, January.
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