Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach
比较了Heath-Jarrow-Morton模型与历史波动率模型在欧洲美元期权市场中的表现，发现隐含波动率能解释大部分实际利率波动，优于GARCH等模型，但无法完全解释利率冲击对波动率的非对称影响。
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.