How Well Does Implied Volatility Predict Future Stock Index Returns and Volatility? : A Study of Option-Implied Volatility Derived from OMXS30 Index Options
The purpose of this thesis is to study if and how well implied volatility can predict realised volatility and returns on the OMXS30 index one month in the future. The findings are put in relation to how historical volatility can predict realised volatility and how changes in implied volatility can p...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
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Stockholms universitet, Företagsekonomiska institutionen
2020
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-187552 |