The Economic Value of Volatility Timing Using 'Realized' Volatility

2001 ◽  
Author(s):  
Jeff Fleming ◽  
Chris Kirby ◽  
Barbara Ostdiek
Keyword(s):  
Economic Value ◽  
Realized Volatility ◽  
Volatility Timing

The economic value of volatility timing using “realized” volatility

2003 ◽  
Vol 67 (3) ◽  
pp. 473-509 ◽  
Author(s):  
Jeff Fleming ◽  
Chris Kirby ◽  
Barbara Ostdiek
Keyword(s):  
Economic Value ◽  
Realized Volatility ◽  
Volatility Timing

scholarly journals The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

2014 ◽  
Vol 49 (3) ◽  
pp. 663-697 ◽  
Author(s):  
Peter Christoffersen ◽  
Bruno Feunou ◽  
Kris Jacobs ◽  
Nour Meddahi
Keyword(s):  
High Frequency ◽  
Economic Value ◽  
Value Added ◽  
Realized Volatility ◽  
Option Valuation ◽  
Economic Value Added ◽  
New Class ◽  
Pricing Errors ◽  
Daily Returns ◽  
Do So

AbstractMany studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so, we develop a new class of affine discrete-time option valuation models that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas, and we assess the option valuation properties using Standard & Poor’s (S&P) 500 return and option data. We find that realized volatility reduces the pricing errors of the benchmark model significantly across moneyness, maturity, and volatility levels.

scholarly journals Ganhos econômicos da volatilidade realizada no mercado Brasileiro de ações

2014 ◽  
Vol 12 (3) ◽  
pp. 319
Author(s):  
Márcio Gomes Pinto Garcia ◽  
Marcelo Cunha Medeiros ◽  
Francisco Eduardo De Luna e Almeida Santos
Keyword(s):  
High Frequency ◽  
Realized Volatility ◽  
Multivariate Model ◽  
Expected Returns ◽  
Estimation Risk ◽  
Performance Fees ◽  
Volatility Timing

This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate model of realized volatility. To study this issue, we build a high frequency database with the most actively traded Brazilian stocks. Comparing with traditional volatility methods, we find that, when estimation risk is controlled, economic gains associated with realized measures perform well and increase proportionally to the target return. When expected returns are bootstrapped, however, performance fees are not significant, which is an indication that economic gains of realized volatility are offset by estimation risk.

The Economic Value of Volatility Timing

2000 ◽  
Author(s):  
Jeff Fleming ◽  
Chris Kirby ◽  
Barbara Ostdiek
Keyword(s):  
Economic Value ◽  
Volatility Timing
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