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Implied Volatility Surface Predictability: The Case of Commodity Markets

Kearney, Fearghal; Shang, Han Lin; Sheenan, Lisa

Description

Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the financialization of futures markets in the early 2000s, we investigate if these extant models can uncover predictable patterns in the implied volatility surfaces of the most actively traded commodity options between 2006 and 2016. Adopting a rolling out-of-sample...[Show more]

CollectionsANU Research Publications
Date published: 2019
Type: Journal article
URI: http://hdl.handle.net/1885/200498
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2019.105657

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