The Information Content of Implied Volatility in Agricultural Commodity Markets

@inproceedings{Giot2002TheIC,
  title={The Information Content of Implied Volatility in Agricultural Commodity Markets},
  author={Pierre Giot},
  year={2002}
}
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 implied volatility. Secondly, Value-at… CONTINUE READING

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