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THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET AgEcon
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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