The Information Content of Implied Volatility in Agricultural Commodity Markets

  title={The Information Content of Implied Volatility in Agricultural Commodity Markets},
  author={Pierre Giot},
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


Publications referenced by this paper.
Showing 1-8 of 8 references

Market models

  • C. Alexander
  • 2001
Highly Influential
5 Excerpts

ARCH selected readings

  • K. Dowd
  • options,” Journal of Econometrics,
  • 1998
Highly Influential
4 Excerpts

Financial institutions management

  • A. Saunders
  • 2000
1 Excerpt

Conditional volatility and the informational efficiency of the PHLX currency options market,

  • S. Taylor
  • Journal of Banking and Finance,
  • 1995
2 Excerpts

The pricing of options and corporate liabilities,

  • M. Scholes
  • Journal of Political Economy,
  • 1973

Similar Papers

Loading similar papers…