The Model-Free Implied Volatility and Its Information Content

• Main Authors: Wu Chun-Chiang, 吳俊強
• Other Authors: Pan Chiang- Chiang
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/33260451388584352845

碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === In general, the B-S model supposes the volatility is constant but the B-S implied volatility has volatility smile phenomenon. Because there is volatility smile phenomenon in B-S model that some studies address model-free volatility model. Therefore, the purpose of this study is to understand weather the model-free implied volatility is a good volatility forecasting model. This paper discusses the following topics. (1)The model-free implied volatility is a efficient forecast for future volatility. (2)Whether the model-free implied volatility subsume all information contained in historical volatility. (3)Whether the model-free implied volatility is batter than B-S volatility. The results of this research are as following: (1)The model-free implied volatility is better than historical volatility. (2)The information content of model-free implied volatility can not complete contain the history’s. (3)The model-free implied volatility is not better than B-S volatility.