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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/77952

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77952

Title:	Market imperfections and the information content of implied and realized volatility
Authors:	Wong, Woon K.;Tu, Anthony H. 杜化宇
Contributors:	財管系
Keywords:	G14;G15
Date:	2009-01
Issue Date:	2015-08-24 12:06:31 (UTC+8)
Abstract:	The information content of option implied volatility and realized volatility under market imperfections are studied in the context of GARCH modeling and volatility forecasts of Taiwan stock market (TAIEX) returns. Consistent with most studies, we find that the Taiwan implied volatility index (TVIX) calculated from the TAIEX option prices contains most of the information, and that White`s [White, H., 2000. A reality check for data snooping. Econometrica 68, 1097–1126] reality check test cannot reject the null hypothesis that the TVIX provides the best forecast. Possibly due to market imperfections, however, the incremental information content of realized volatility as well as daily returns cannot be ruled out. Finally, we also find that the information is found only in the most recent TVIX, indicating information is being efficiently impounded on the TAIEX option prices. This finding suggests that appropriately designed derivative products can alleviate the problems caused by market imperfections.
Relation:	Pacific-Basin Finance Journal, 17(1), 58-79
Data Type:	article
DOI link:	http://dx.doi.org/10.1016/j.pacfin.2007.12.002
DOI:	10.1016/j.pacfin.2007.12.002
Appears in Collections:	[Department of Finance] Periodical Articles

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