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英文文献：The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets-隐含波动率在预测外汇、股票和债券市场的未来已实现波动率和跳跃中的作用
英文文献作者：Thomas Busch,Bent Jesper Christensen,Morten ?rregaard Nielsen
英文文献摘要：
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as an additional forecasting variable. A vector HAR (VecHAR) model for the resulting simultaneous system is introduced, controlling for possible endogeneity issues. We find that implied volatility contains incremental information about future volatility in all three markets, relative to past continuous and jump components, and it is an unbiased forecast in the foreign exchange and stock markets. Out-of-sample forecasting experiments confirm that implied volatility is important in forecasting future realized volatility components in all three markets. Perhaps surprisingly, the jump component is, to some extent, predictable, and options appear calibrated to incorporate information about future jumps in all three markets.
我们研究了外汇市场、股票市场和债券市场的未来实现波动率的预测，包括从期权价格中退出的隐含波动率。将已实现波动率分离为连续分量和跳跃分量，采用隐含波动率作为附加预测变量的异质性自回归(HAR)模型。为产生的同时系统引入了向量HAR (VecHAR)模型，以控制可能的内生性问题。我们发现隐含波动率包含了所有三个市场的未来波动率的增量信息，相对于过去的连续和跳跃成分，它是外汇和股票市场的一个无偏的预测。样本外预测实验证实了隐含波动率在预测三种市场的未来已实现波动率成分中具有重要意义。或许令人惊讶的是，跳跃部分在某种程度上是可预测的，而且期权似乎经过校准，纳入了所有三个市场未来跳跃的信息。
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