The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market
用灵活方法构建玉米期货期权隐含波动率的期限结构，发现隐含远期波动率能较好预测实际波动，近月期权预测无偏且优于历史波动率，远月期权预测能力因交易减少而下降。
Using a flexible method, we develop the term structure of volatility implied by corn futures options with differing maturities, and evaluate its ability to predict subsequent realized price volatility. The implied forward volatilities anticipate realized volatility well. For the nearby interval, the implied forward volatilities provide unbiased forecasts, and are superior to forecasts based on historical volatilities. For more distant intervals, early‐year options predict the direction and magnitude of future volatility changes about as well as a three‐year moving average and better than a naïve forecast. However, later‐year options display less forecast power in part due to reduced trading activity.