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

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  • Bronka Rzepkowski

Abstract

[eng] The Predictive Power of the Volatility Implicit in Foreign Exchange Option Prices . by Bronka Rzepkowski . 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. [fre] La volatilité implicite dans le prix des options est souvent considérée comme la meilleure prévision de la volatilité future. Le pouvoir prédictif de la volatilité implicite « à-la-monnaie » du dollar/ yen, mark/ franc, mark/ peseta et mark/ lire est comparé à celui de volatilités historiques et conditionnelles issues de différentes spécifications garch. Les estimations, sur la période juillet 1995 – avril 1997, montrent que la volatilité implicite des monnaies du Mécanisme de Change Européen n’est pas une prévision sans biais et efficiente de la volatilité future, résultat confirmé par les tests hors échantillon (mai 1997 – mars 1998). Un « problème du peso » semble être à l’origine des biais observés. La volatilité du dollar/ yen au contraire est une prévision sans biais et proche des conditions d’efficience.

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  • Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, vol. 148(2), pages 71-97.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2001_num_148_2_6278
    DOI: 10.3406/ecop.2001.6278
    Note: DOI:10.3406/ecop.2001.6278
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