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Pouvoir prédictif de la volatilité implicite dans le prix des options de change

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  • Bronka Rzepkowski

Abstract

The volatility implicit in option prices is often seen as the best forecast of future volatility. The predictive power of the implicit ?at-the-money? volatility of the dollar/yen, deutsche mark/French franc, deutsche mark/peseta and deutsche mark/lira is compared with the predictive power of past and conditional volatilities derived from different GARCH specifications. Estimates for the period from July 1995 to April 1997 show that the implicit volatility of European Exchange Rate Mechanism currencies is not an unbiased and efficient forecast of future volatility. This finding is confirmed by out-of-sample tests (May 1997 to March 1998). A ?peso problem? appears to be responsible for the biases observed. Conversely, the dollar/yen volatility provides an unbiased forecast close to efficiency conditions.

Suggested Citation

  • Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Economie & Prévision, La Documentation Française, vol. 148(2), pages 71-97.
    • Handle: RePEc:cai:ecoldc:ecop_148_0071
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    Cited by:

    1. El Bouhadi, Abdelhamid & Achibane, Khalid, 2009. "The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?," MPRA Paper 19482, University Library of Munich, Germany.
    2. Abdelhamid El Bouhadi, 2003. "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance 0305007, University Library of Munich, Germany, revised 02 Feb 2004.

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