재무연구 제 권 호 (2011년 5월)
Asian Review of Financial Research, Vol., No..
pp.416~445
pp.416~445
The Information content of the risk-neutral skewness for Volatility Forecasting
Suk Joon Byun KAIST Business School, Korea
Jun Sik Kim KAIST Business School, Korea
This paper investigates the information content of the risk-neutral skewness derived from S&P 500 index option prices for forecasting future volatility. Empirical results show that the risk-neutral skewness provides incremental explanatory power for future volatility. Moreover, the models with the risk-neutral skewness dominate in terms of out-of-sample forecasting performance, especially during the 2007-2008 financial crisis.
Suk Joon Byun
Jun Sik Kim
This paper investigates the information content of the risk-neutral skewness derived from S&P 500 index option prices for forecasting future volatility. Empirical results show that the risk-neutral skewness provides incremental explanatory power for future volatility. Moreover, the models with the risk-neutral skewness dominate in terms of out-of-sample forecasting performance, especially during the 2007-2008 financial crisis.
