✦ LIBER ✦

The forecast quality of CBOE implied volatility indexes

✍ Scribed by Charles J. Corrado; Thomas W. Miller; Jr.

Publisher: John Wiley and Sons
Year: 2005
Tongue: English
Weight: 340 KB
Volume: 25
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20148

No coin nor oath required. For personal study only.

✦ Synopsis

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to provide even higher quality forecasts of future volatility. We further find that attenuation biases induced by the econometric problem of errors in variables appear to have largely disappeared from CBOE

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