An Analysis between Implied and Realised Volatility in the Greek Derivative Market

George Filis

Journal of Emerging Market Finance, 2009, vol. 8, issue 3, 251-263

Abstract: In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility ‘Granger causes’ implied volatility for call options, and implied volatility of call options ‘Granger causes’, the implied volatility of put options.

Keywords: JEL Classification: C22; JEL Classification: C32; JEL Classification: G10; Implied volatility; realised volatility; Athens derivatives exchange; Granger causality (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:8:y:2009:i:3:p:251-263

DOI: 10.1177/097265270900800301

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