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碩士 === 國立中央大學 === 財務金融學系在職專班 === 101 === This thesis uses EURUSD, USDJPY, and AUDUSD to study the forecasting ability of currency option implied volatility. Using the Garman and Klass (1980) estimator as the proxy of spot market volatility, we compare the fitting performance of implied volatility an...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/27719626281147127054 |
| Summary: | 碩士 === 國立中央大學 === 財務金融學系在職專班 === 101 === This thesis uses EURUSD, USDJPY, and AUDUSD to study the forecasting ability of currency option implied volatility. Using the Garman and Klass (1980) estimator as the proxy of spot market volatility, we compare the fitting performance of implied volatility and GARCH in a regression framework. The results show that 1-week and 1-month implied volatilities fit better than the volatility estimated from the GARCH model. Moreover, 1-week and 1-month implied volatilities outperform GARCH forecasts in both in-sample and out-sample forecasting evaluation.
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