CONDITIONAL VOLATILITY AND THE INFORMATIONAL EFFICIENCY OF THE PHLX CURRENCY OPTIONS MARKET

被引：55

作者：

XU, XZ ^{[1
]}

TAYLOR, SJ ^{[1
]}

机构：

[1] UNIV LANCASTER,DEPT ACCOUNTING & FINANCE,LANCASTER LA1 4YX,ENGLAND

来源：

JOURNAL OF BANKING & FINANCE | 1995年 / 19卷 / 05期

关键词：

ARCH MODELS; FORECASTING; INFORMATIONAL EFFICIENCY; OPTIONS; VOLATILITY;

D O I：

10.1016/0378-4266(95)00086-V

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The relative performance of implied and historical volatility predictors is compared for four exchange rates from 1985 to 1991. For three currencies, ARCH models estimated up to 1989 show that PHLX implied volatilities provide specifications for daily conditional variances which can not be significantly improved by using past returns. This result is consistent with the informational efficiency of the Philadelphia currency options market. Out-of-sample forecasts of the average volatility over four-week periods are evaluated for 1990 and 1991. Once more the implied predictors are superior to historical predictors.

引用

页码：803 / 821

页数：19

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