Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression

Research, Preprint OPEN
Barunik, Jozef; Barunikova, Michaela;
(2015)
  • Publisher: Kiel: Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
  • Subject: C52 | C22 | wavelet band spectrum regression,corridor implied volatility,realized volatility,fractional cointegration | C14 | realized volatility | G14 | wavelet band spectrum regression | corridor implied volatility | C51 | fractional cointegration
    • jel: jel:C22 | jel:C14 | jel:C52 | jel:C51 | jel:G14
      ddc: ddc:330

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It i... View more
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