Onan, Mustafa2016-01-082016-01-082012http://hdl.handle.net/11693/15521Cataloged from PDF version of article.Includes bibliographical references.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.ix, 73 leavesEnglishinfo:eu-repo/semantics/openAccessImplied Volatility SmirkS&P 500High-FrequencyHG6024.A3 O53 2012Options (Finance)--Econometric models.Financial futures.Risk management.Economic forecasting--Econometric models.Thesis