This study tests if historical volatility- and implied volatility has significant predictive power over future realized volatility and if so which one of the two is the superior predictor. The study is conducted by using historical volatility of the OMXS30 and implied volatility from OMXS30 call options during the period 2012-2023. Three regressions have been made to test the research questions, two simple linear regression and one multiple linear regression. The results of the study showed that both historical- and implied volatility had significant predictive power over future realized volatility with implied being the superior one with a higher correlation coefficient. The multiple regression showed that both the independent variables were important and both of them explained different parts of the data, which means that they have complementary abilities and that both should be used when assessing the forecast of realized volatility.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-123229 |
| Date | January 2023 |
| Creators | Sjöberg, Gustav, Oom, Gustav |
| Publisher | Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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