KOSPI 200 지수의 실현변동성 예측에서의 내재변동성 측정오차의 영향 = The Effect of Error-in-Variable Problem of Implied Volatility on Predicting the Realized Volatility of KOSPI 200 Index

다국어 초록 (Multilingual Abstract)

This paper investigates the error-in-variable problem of implied volatility in KOSPI 200 index option market during the period of 9 years from 1999 to 2007. The measurement error of implied volatility will cause the downward bias of OLS coefficient of implied volatility in predicting future realized volatility. The realized volatility and the historical volatility are measured as daily base and monthly base using daily return of KOSPI 200 index. And the volatility index (KoVIX) published by KRX is used to measure the implied volatility. For the daily data, the implied volatility of put option exhibits measurement error, while that of call option does not. It shows that the measurement error may be effected by the market liquidity. And the implied volatility doesn`t seem to be an unbiased estimator of the realized volatility. The historical volatility seems to have additional predictive information over the implied volatility. For the monthly data, the pattern of measurement error is similar with the daily data. But the implied volatility seems to be an unbiased estimator of the realized volatility. The historical volatility doesn`t have additional predictive information over the implied volatility.

참고문헌 (Reference)

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