郭彪,Hai Lin,Qian Han——JOURNAL OF FUTURES MARKETS:Are there gains from using information over the surface of implied volatilities?
时间:2018-06-30
We investigate the out-of-sample predictability of implied volatility using the information over the implied volatility surface. We show that implied volatility surface is useful for the out-of-sample forecast of implied volatility up to 1 week ahead. Trading strategies based on the predictability of implied volatility could generate significant risk-adjusted gains after controlling for transaction costs. Significant results also depend on the way of modeling implied volatility surface. We then