Forecasting swap rate volatility with information from swaptions
研究了互换期权隐含波动率对互换利率未来实际波动率的预测能力，发现其预测效果优于历史波动率和GARCH模型，且在样本外和不同市场状态下依然稳健。
Abstract We examine the predictability of the model‐free implied volatility from swaptions on future realized volatility of the underlying swap rates. The model‐free implied volatility demonstrates significant predictability on future realized volatility of swap rates along a wide cross‐section of tenors. The predictive power of the model‐free implied volatility is superior to the predictability of lagged realized volatility and generalized autoregressive conditional heteroskedasticity‐type conditional volatility. The superior predictive power of the model‐free implied volatility also holds out‐of sample, in different market states and with longer forecasting horizons.