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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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| Egelkraut, Thorsten M.; Garcia, Philip. |
| Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs, volatility is less predictable and investors appear to demand a risk premium for bearing volatility risk. |
| Tipo: Journal Article |
Palavras-chave: Agricultural commodity; Efficiency; Forecasts; Implied forward volatility; Options; Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/8637 |
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