The informational content of implied volatility, skewness and kurtosis:The empirical evidence from TAIEX options

• Main Authors: Jen-Chieh Kuo, 郭人杰
• Other Authors: Bing-Huei Lin
• Format: Others
• Language: en_US
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/tg5zhg

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 95 === This paper addresses the informational content of option-implied volatility, skewness, and kurtosis. Using data from Taiwan futures options markets, we use implied risk-neutral distributions derived via the original Black/Scholes model, the Gram/Charlier series expansion approach proposed by Corrado and Su (1996), and the model of Bakshi, Kapadia, and Madan (BKM, 2003). We find the historical volatility outperform implied volatilities as a predictor of the subsequently realized volatility in the underlying futures prices over the remaining life of the option. As for the higher moments, historical estimates of higher moments in terms of forecasting ability in the majority of cases proven to be superior to implied higher moments from different models.