The relation between implied and realized volatility

Article Abstract:

Implied volatility, such as that of the S&P 100 Index, is found to outperform past volatility in some specifications with differences resulting because of the use of longer time series and nonoverlapping data. Previous work finds that volatility implied by the S&P 100 Index option prices is biased and inefficient in forecasting future volatility and that this is due to a regime shift before the October 1987 crash.

Analysis, Reports, Economic research, Stock price indexes

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News related to future GDP growth as a risk factor in equity returns

Article Abstract:

An economic model is presented here that uses news about the future growth of the gross domestic product along with a market factor that explains a cross-section of equity returns. This news is modeled with a mimicking portfolio, using both fixed-income and equity portfolios as the base assets.

Science & research, Labor Distribution by Employer, Research, Statistics, Gross domestic product, Return on investment, Rate of return, Equity (Finance)

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The distribution of realized stock return volatility

Article Abstract:

Stocks from the Dow Jones Industrial Averaged are anlyzed as to return volatility and daily prices. Testing of several distributions reveals that an accurate description of correlation and volatility is a long-memory processes.

Statistical Data Included, Stocks

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