The information content of implied volatility: Evidence from Australia
为澳大利亚股市构建了隐含波动率指数AVX，发现其与股指收益呈显著负向不对称关系，且在预测未来波动率时，AVX在样本内和样本外均优于传统模型，尤其一个月预测期表现最佳。
Abstract This study develops an implied volatility index for the Australian stock market, termed as the AVX, and assesses its information content. The AVX is constructed using S&P/ASX 200 index options with a constant time‐to‐maturity of three months. It is observed that the AVX has a significant negative and asymmetric relationship with S&P/ASX 200 returns. When evaluating the forecasting power of the AVX for future stock market volatility, it is found that the AVX contains important information both in‐sample and out‐of‐sample. In‐sample, the AVX significantly improves the fit of a GJR‐GARCH(1, 1) model. Out‐of‐sample, the AVX significantly outperforms the RiskMetrics approach and the GJR‐GARCH(1, 1) model, with its highest forecasting power at the one‐month forecasting horizon. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:134–155, 2010