THE ECONOMIC VALUE OF USING REALIZED VOLATILITY IN FORECASTING FUTURE IMPLIED VOLATILITY
研究了在标普500指数期权市场中，用已实现波动率预测未来隐含波动率对定价、交易和套期保值的经济收益，发现考虑交易成本后无显著经济收益。
Abstract We examine the economic benefits of using realized volatility to forecast future implied volatility for pricing, trading, and hedging in the S&P 500 index options market. We propose an encompassing regression approach to forecast future implied volatility, and hence future option prices, by combining historical realized volatility and current implied volatility. Although the use of realized volatility results in superior performance in the encompassing regressions and out‐of‐sample option pricing tests, we do not find any significant economic gains in option trading and hedging strategies in the presence of transaction costs.