Analyzing the forecast performance of S&P 500 Index Options implied volatility
| buir.advisor | Salih, Aslıhan Altay | |
| dc.contributor.author | Erdemir, AytaƧ | |
| dc.date.accessioned | 2016-01-08T18:19:28Z | |
| dc.date.available | 2016-01-08T18:19:28Z | |
| dc.date.issued | 2012 | |
| dc.description | Ankara : The Department of Management, Ä°hsan DoÄramacı 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 examines the comparative performance of the call and put implied volatility (IV) of at-the-money European-style SPX Index Options on the S&P 500 Price Index as a precursor to the ex-post realized volatility. The results confirm that implied volatility contains valuable information regarding the ex-post realized volatility during the last decade for the S&P 500 market. The empirical findings also indicate that the put implied volatility has a higher forecast performance. Furthermore, from the wavelet estimations it has been concluded that the long-run variation of the implied volatility is consistent and unbiased in explaining the long-run variations of the ex-post realized volatility. Wavelet estimations further reveal that in the long-run put and call implied volatility contain comparable information regarding the realized volatility of the market. However, in the short-run put implied volatility dynamics have better predictive ability. | en_US |
| dc.description.provenance | Made available in DSpace on 2016-01-08T18:19:28Z (GMT). No. of bitstreams: 1 0006232.pdf: 637360 bytes, checksum: 595734a7e0ab876478d1ae8661725887 (MD5) | en |
| dc.description.statementofresponsibility | Erdemir, AytaƧ | en_US |
| dc.format.extent | ix, 60 leaves | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/15497 | |
| dc.language.iso | English | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Implied Volatility | en_US |
| dc.subject | Volatility Forecasting | en_US |
| dc.subject | Wavelet Analysis | en_US |
| dc.subject.lcc | HG6024.A3 E73 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 | Analyzing the forecast performance of S&P 500 Index Options implied volatility | en_US |
| dc.type | Thesis | en_US |
| thesis.degree.discipline | Business Administration | |
| thesis.degree.grantor | Bilkent University | |
| thesis.degree.level | Master's | |
| thesis.degree.name | MBA (Master of Business Administration) |
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