arXiv Open Access 2018

Implied and Realized Volatility: A Study of the Ratio Distribution

M. Dashti Moghaddam R. A. Serota

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Abstrak

We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following month. We show that the ratio of the two is best fitted by a Beta Prime distribution, whose shape parameters depend strongly on which of the two months is used.

Topik & Kata Kunci

q-fin.ST q-fin.MF

Penulis (2)

M. Dashti Moghaddam

R. A. Serota

Format Sitasi

APA MLA BibTeX

Moghaddam, M.D., Serota, R.A. (2018). Implied and Realized Volatility: A Study of the Ratio Distribution. https://arxiv.org/abs/1810.07735

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Informasi Jurnal

Tahun Terbit: 2018
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓