Volatilidade Implícita e Antecipação de Eventos de: um Teste para o Mercado Brasileiro

Frederico Gomes

No 38, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper aims at verifying whether, for the Brazilian markets, option implied volatility contains information regarding large-magnitude returns in the future. Moreover, a practical tool was developed in order to capture the information provided by implied volatility. Statistical evidence shows that implied volatility in Telebrás and dollar-real options contains useful information regarding stress events in the future. Depending on the implied volatility estimate used in the analysis, the information provided by Telebrás options is captured by a practical warning system at a 92% level of confidence. In the case of implied volatility in dollar-real options, however, the practical tool proved to be inefficient. False signals were issued and stress events in the dollar-real market were not previously detected.

Date: 2002-03
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