Information content of volatility spreads
重新审视波动率价差的决定因素，提出一种新的未来波动率预测方法，该方法不要求投资者风险中性或收益率服从正态分布，并利用标普500指数期权数据证明其预测误差更小且是无偏估计。
Abstract This study reexamines the determinants of volatility spreads and suggests a new forecast of future volatilities. Contrary to earlier volatility forecasts, the newly introduced forecast is applicable when investors are not risk‐neutral or when underlying returns do not follow a Gaussian probability distribution. This implies that the method is consistent with the presence of risk premia for other risks such as volatility risk. Using S&P 500 index options, we show that the new volatility forecast outperforms other volatility forecasts including risk‐neutral implied volatility and historical volatility in two aspects. First, the new forecast is superior to other estimates in terms of forecasting errors for future realized volatilities. Second, it is an unbiased estimator of future realized volatilities. This is shown using an encompassing regression analysis. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:533–558, 2010