期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2002
卷号：2002
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：In this paper 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 im-
plied 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
future contracts in agricultural commodity markets has a high information content regarding
conditional variance and VaR forecasts.
