Tracking Brazilian Exchange Rate Volatility

Benjamin Miranda Tabak (), Sandro Canesso de Andrade and Eui Jung Chang

No 487, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: This paper examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option which is not present in past returns. Using GMM estimation consistent with telescoping observations evidence suggests that implied volatilities give superior forecasts of realized volatility if compared to GARCH(p,q), and Moving Average predictors, and that econometric models forecasts do not provide significant incremental information to that contained in implied volatilities.

Keywords: implied volatility; telescoping observations; GMM (search for similar items in EconPapers)
JEL-codes: G10 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-ifn
Date: 2004-08-11
View list of references

Downloads: (external link)
http://repec.org/esFEAM04/up.29425.1077122782.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ecm:feam04:487

Access Statistics for this paper

More papers in Econometric Society 2004 Far Eastern Meetings from Econometric Society
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().