Volatility forecasting in the 90-Day Australian bank bill futures market
Kelly, Nathan K
This study employs a comprehensive data set from the 90-Day Australian Bank Bills Futures market to test the predictive power of the theoretically superior implied volatility against historical volatility. Overall, the volatility forecasting results are in line with previous research into futures markets. Implied volatility is a biased forecaster, historical volatility contains no extra information beyond that contained in implied volatility and the market is relatively efficient. The market tested also has two unique characteristics compared to previous research, futures style margining on the option contracts and geographic location. This, combined with the use of both overlapping and non-overlapping data sets, ensures the results are significant.
Degree Discipline: Finance
Keywords: volatility forecasting; forecasting; market efficiency; interest rates; options; implied volatility; Asay; Volatility; Futures market
Research Type: Thesis
The first file is the version submitted for completion of MBus and the second is the version submitted to the AsianFA/FMA Conference in Auckland, New Zealand in July, 2006. The second only differs in formatting and the appendix detail.