The information content of implied volatility in agricultural commodity markets
Year: 2003
Type: article
Abstract: In this article we compare the incremental information content of lagged implied volatility to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the relevance of the additional information provided by the implied volatility in a risk management framework. It is first shown that past squared returns only marginally improve the information content provided by the lagged implied volatility. Secondly, value‐at‐risk (VaR) models that rely exclusively on lagged implied volatility perform as well as VaR models where the conditional variance is modelled according to GARCH type processes. These results indicate that the implied volatility for options on futures contracts in agricultural commodity markets provides relevant volatility information that can be used as an input to VaR models. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:441–454, 2003
Source: Journal of Futures Markets
DOI: 10.1002/fut.10069
Author: Pierre Giot
Institutions: University of Namur, UCLouvain
Language: English
Subfield: Finance
Domain: Social Sciences
SDG: Zero hunger
Open Access status: green
OpenAlex ID: W2009403353