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Option-Implied volatility as a predictor of realized volatility in derivative markets
Dissertation (MBA)--University of Pretoria, 2013.
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University of Pretoria
2013
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| _version_ | 1867613612653150208 |
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| access_status_str | Open Access |
| author2 | Gunn, Ralph |
| author_browse | Gunn, Ralph |
| author_facet | Gunn, Ralph |
| collection | Thesis |
| dc_rights_str_mv | © 2011 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria |
| description | Dissertation (MBA)--University of Pretoria, 2013. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/27019 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:38:54.752Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/27019 Option-Implied volatility as a predictor of realized volatility in derivative markets Gunn, Ralph ichelp@gibs.co.za Ramashala, Kennedy Thabiso Ronald UCTD Atm option Hedger Speculation Otc market Arbitrageurs Volatility Otm option Itm option Dissertation (MBA)--University of Pretoria, 2013. The following study aims to examine the success of using option-implied volatility to forecast realized volatility in derivative markets as the preferred market practice. The approach adopted by this study was to compare realized volatility against the monthly average forecast over the period 2005 to 2010. The data selection spanned across currency and commodities markets; short and long-term horizons; before and after the global financial crisis; as well as developed and developing (emerging) markets. To test the success of the forecasting technique, the study used the T-test to test the sample means for any statistical differences between the means of the forecast variable (optionimplied volatility) and the realized variable. The data for the study was obtained from BloombergTM. The findings across all research question showed that this forecasting technique has performed poorly in general for various reasons. There are different arguments in literature as to which forecasting method works best and under what conditions, some practitioners prefer using historical data methods others prefer more technical methods such as the GARCH 1.1. The use of financial derivatives to mitigate financial risk has become a common practice for organizations with a global presence; however market volatility poses a great risk to the financial stability of these organizations. Forecasting volatility continues to be a challenge for market practitioners. Gordon Institute of Business Science (GIBS) unrestricted 2013-09-07T09:53:10Z 2013-02-20 2013-09-07T09:53:10Z 2012-03-08 2013-02-20 2012-08-04 Dissertation Ramashala, KTR, 2011, Option-Implied volatility as a predictor of realized volatility in derivative markets, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/27019 > F/12/4/758/zw http://hdl.handle.net/2263/27019 http://upetd.up.ac.za/thesis/available/etd-08042012-183757/ © 2011 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria application/pdf University of Pretoria |
| spellingShingle | UCTD Atm option Hedger Speculation Otc market Arbitrageurs Volatility Otm option Itm option Option-Implied volatility as a predictor of realized volatility in derivative markets |
| title | Option-Implied volatility as a predictor of realized volatility in derivative markets |
| title_full | Option-Implied volatility as a predictor of realized volatility in derivative markets |
| title_fullStr | Option-Implied volatility as a predictor of realized volatility in derivative markets |
| title_full_unstemmed | Option-Implied volatility as a predictor of realized volatility in derivative markets |
| title_short | Option-Implied volatility as a predictor of realized volatility in derivative markets |
| title_sort | option implied volatility as a predictor of realized volatility in derivative markets |
| topic | UCTD Atm option Hedger Speculation Otc market Arbitrageurs Volatility Otm option Itm option |
| url | http://hdl.handle.net/2263/27019 http://upetd.up.ac.za/thesis/available/etd-08042012-183757/ |