Pouvoir prédictif de la volatilité implicite dans le prix des options de change

Bronka Rzepkowski

Economie & Prévision, 2001, vol. 148, issue 2, 71-97

Abstract: The volatility implicit in option prices is often seen as the best forecast of future volatility. The predictive power of the implicit ?at-the-money? volatility of the dollar/yen, deutsche mark/French franc, deutsche mark/peseta and deutsche mark/lira is compared with the predictive power of past and conditional volatilities derived from different GARCH specifications. Estimates for the period from July 1995 to April 1997 show that the implicit volatility of European Exchange Rate Mechanism currencies is not an unbiased and efficient forecast of future volatility. This finding is confirmed by out-of-sample tests (May 1997 to March 1998). A ?peso problem? appears to be responsible for the biases observed. Conversely, the dollar/yen volatility provides an unbiased forecast close to efficiency conditions.

Date: 2001
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