EconPapers    
Economics at your fingertips  
 

Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?

Xingguo Luo and Zinan Ye

Finance Research Letters, 2015, vol. 15, issue C, 68-77

Abstract: This paper investigates whether the CBOE Silver ETF Volatility Index (VXSLV), which is the implied volatility calculated from the U.S. options market, contains information for predicting the volatility of the Shanghai silver futures market. In particular, we compare its performance with variables observed in the Chinese market. We find both in-sample and out-of-sample evidence that the VXSLV significantly improves daily and weekly volatility forecasts based on realized volatilities. Moreover, when market variables including trading volume, open interest and momentum are included, the VXSLV remains significant and enhances the forecasting performance of the market variables.

Keywords: Silver futures; Volatility forecasting; Volatility index (search for similar items in EconPapers)
JEL-codes: G14 G13 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612315000781
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:68-77

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2018-01-24
Handle: RePEc:eee:finlet:v:15:y:2015:i:c:p:68-77