The following study aims to examine the success of using option-implied volatility to forecast realized volatility in derivative markets as the preferred market practice. The approach adopted by this study was to compare realized volatility against the monthly average forecast over the period 2005 to 2010. The data selection spanned across currency and commodities markets; short and long-term horizons; before and after the global financial crisis; as well as developed and developing (emerging) markets. To test the success of the forecasting technique, the study used the T-test to test the sample means for any statistical differences between the means of the forecast variable (optionimplied volatility) and the realized variable. The data for the study was obtained from BloombergTM. The findings across all research question showed that this forecasting technique has performed poorly in general for various reasons. There are different arguments in literature as to which forecasting method works best and under what conditions, some practitioners prefer using historical data methods others prefer more technical methods such as the GARCH 1.1. The use of financial derivatives to mitigate financial risk has become a common practice for organizations with a global presence; however market volatility poses a great risk to the financial stability of these organizations. Forecasting volatility continues to be a challenge for market practitioners. / Dissertation (MBA)--University of Pretoria, 2013. / Gordon Institute of Business Science (GIBS) / unrestricted

Made available in DSpace on 2010-04-20T20:08:20Z (GMT). No. of bitstreams: 0 Previous issue date: 1992-06-29T00:00:00Z / Trata da utilização da análise fundamental na previsão de preços da commodity soja no mercado futuro. Apresenta uma síntese da origem e desenvolvimento do mercado e da evolução da negociação com futuros. Descreve o mercado físico e futuro do complexo soja - grão, farelo e óleo -, e a formação dos preços mundiais e domésticos da soja e derivados. Analisa a formação e o comportamento dos preços e a viabilidade do uso da abordagem técnica e da fundamental na previsão de preços das commodities nos mercados futuros. Desenvolve um modelo econométrico para a soja, na forma de um sistema de equações que sintetize os segmentos mais importantes desse mercado, utilizando a abordagem fundamental e apresenta uma avaliação dos resultados obtidos com a estimativa dos coeficientes das equações estruturais.