Forward/forward volatilities and the term structure of implied volatility

Owain ap Gwilym and Mike Buckle

Applied Economics Letters, 1997, vol. 4, issue 5, 325-328

Abstract: Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.

Date: 1997
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DOI: 10.1080/758532602

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