Conditional volatility and the informational efficiency of the PHLX currency options market
Article Abstract:
An ARCH methodology is used to investigate the informational efficiency of the Philadelphia Stock Exchange's currency options market. The study examines exchange rates for the British pound, the Deutsche mark, the Japanese yen and the Swiss franc for the period 1985-91 to compare the relative performance of implied and historical volatility predictors. Findings reveal the Philadelphia currency options market's informational efficiency in terms of pricing options. The results also show that volatility expectations in option prices can generate outstanding predictors of short and long horizon conditional volatilities.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models
Article Abstract:
The volatility forecasting ability of ARMA, ARFIMA, GARCH and option prices models for exchange of currencies of pound, mark, and yen against dollaris compared and their accuracies is studied.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: A prescription for patient care. Foreign currency options. Secure business for an honest living
- Abstracts: Forward and futures prices: evidence from the foreign exchange markets. Are real interest rates equal across countries? An empirical investigation of international parity conditions
- Abstracts: A cognitive computational model of risk hypothesis generation
- Abstracts: Forward and futures prices: evidence from the foreign exchange markets. part 2 Optimal hedging under intertemporally dependent preferences
- Abstracts: Professional assault on enforced tendering. The inevitability of the internal trading market. Creating the right culture for professional CCT