Predictable dynamics in implied volatility smirk slope : evidence from the S&P 500 options
| buir.advisor | Salih, Aslıhan Altay | |
| dc.contributor.author | Onan, Mustafa | |
| dc.date.accessioned | 2016-01-08T18:19:46Z | |
| dc.date.available | 2016-01-08T18:19:46Z | |
| dc.date.issued | 2012 | |
| dc.department | Department of Management | en_US |
| dc.description | Ankara : The Department of Management, İhsan Doğramacı Bilkent University, 2012. | en_US |
| dc.description | Thesis (Master's) -- Bilkent University, 2012. | en_US |
| dc.description | Includes bibliographical references. | en_US |
| dc.description.abstract | This study aims to investigate whether there are predictable patterns in the dynamics of implied volatility smirk slopes extracted from the intraday market prices of S&P 500 index options. I compare forecasts obtained from a short memory ARMA model and a long memory ARFIMA model within an out-of-sample context over various forecasting horizons. I find that implied volatility smirk slopes can be statistically forecasted and there is no statistically significant difference among competing models. Furthermore, I investigate whether these implied volatility smirk slopes have predictive power for future index returns. I find that slope measures have predictive ability up to 20 minutes. | en_US |
| dc.description.degree | M.B.A | en_US |
| dc.description.statementofresponsibility | Onan, Mustafa | en_US |
| dc.format.extent | ix, 73 leaves | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/15521 | |
| dc.language.iso | English | en_US |
| dc.publisher | Bilkent University | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Implied Volatility Smirk | en_US |
| dc.subject | S&P 500 | en_US |
| dc.subject | High-Frequency | en_US |
| dc.subject.lcc | HG6024.A3 O53 2012 | en_US |
| dc.subject.lcsh | Options (Finance)--Econometric models. | en_US |
| dc.subject.lcsh | Financial futures. | en_US |
| dc.subject.lcsh | Risk management. | en_US |
| dc.subject.lcsh | Economic forecasting--Econometric models. | en_US |
| dc.title | Predictable dynamics in implied volatility smirk slope : evidence from the S&P 500 options | en_US |
| dc.type | Thesis | en_US |
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