Erdemir, Aytaç2016-01-082016-01-082012http://hdl.handle.net/11693/15497Ankara : The Department of Management, İhsan Doğramacı Bilkent University, 2012.Thesis (Master's) -- Bilkent University, 2012.Includes bibliographical references.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.ix, 60 leavesEnglishinfo:eu-repo/semantics/openAccessImplied VolatilityVolatility ForecastingWavelet AnalysisHG6024.A3 E73 2012Options (Finance)--Econometric models.Financial futures.Risk management.Economic forecasting--Econometric models.Thesis