Implied volatility from options on gold futures
Subtitle: do econometric forecasts add value or simply paint the lilly?
By: Christopher J. Neely.
Contributors: Federal Reserve Bank of St. Louis.
Series: Working paper ;; 2003-018C; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2003-018C.
Publisher: Federal Reserve Bank of St. Louis
Published: 2003
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Futures.; Gold.
Description: "Consistent with findings in other markets, implied volatility is a biased predictor of the realized volatility of gold futures.  No existing explanation--including a price of volatility risk--can completely explain the bias, but much of this apparent bias can be explained by persistence and estimation error in implied volatility.  Statistical criteria reject the hypothesis that implied volatility is informationally efficient with respect to econometric forecasts.  But delta hedging exercises indicate that such econometric forecasts have no incremental economic value.  Thus, statistical measures of bias and information efficiency are misleading measures of the information content of option prices"--Federal Reserve Bank of St. Louis web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 1/28/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.