On the Role of Risk Premia in Volatility Forecasting
从期权定价文献出发，解释为何平价隐含波动率是未来已实现波动率的有偏且无效的预测，并基于风险溢价和潜在现货波动率进行实证检验，对金融从业者和研究者有参考价值。
I explain why at-the-money implied volatility is a biased and inefficient forecast of future realized volatility using the insights from the empirical option-pricing literature. First, I explain how the risk premia, which manifest themselves through disparity between objective and risk-neutral probability measures, lead to the disparity between realized and implied volatilities. Second, I show that this disparity is a function of the latent spot volatility, which I estimate using the historical volatility and high–low range. An empirical exercise that is based on at-the-money implied volatility series of foreign currencies and stock market indexes, is supportive of my risk premia-based explanation of the bias.