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| Wu, Feng; Guan, Zhengfei. |
| Accurately forecasting volatility at distant horizons is critical for managing long-term risk in agriculture. Given the poor performance of GARCH-type models at long-term volatility forecast, we develop a risk-adjusted implied volatility, which adjust the risk-neutral implied volatility by correctly accounting for the volatility risk premium. The paper evaluates the performance of the new implied volatility in the corn futures market relative to two alternative forecasts- a three-year moving average forecast and a naïve forecast. The finding from the study is that the new implied volatilities have at least as well as or stronger predictive power than alternative predicting approaches. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Risk-neutral; Volatility risk premium; Forecast; Corn options; Demand and Price Analysis. |
| Ano: 2010 |
URL: http://purl.umn.edu/61316 |
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| Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J.. |
| Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor of subsequent realized volatility. Using data from 1987-2001 and employing a flexible method to obtain the implied forward volatilities, two types of information are examined: 1) the market's estimate of future realized volatility for the nearby interval of the term structure and, 2) the market's expectation of the direction and magnitude of change of future realized volatility over time. In contrast to previous research, the results indicate that the implied... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Corn options; Implied forward volatility; Informational content; Term structure; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/18983 |
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