Title page for ETD etd-033199-162115


Type of Document Master's Thesis
Author Neves, Andrea Marolt Pimenta
Author's Email Address Andrea_RMC@msn.com
URN etd-033199-162115
Title A Comparison of Implied Standard Deviations and Historical Estimates of Volatility During and After the Participation of the British Pound in the ERM
Degree Master of Arts
Department Economics (Arts and Sciences)
Advisory Committee
Advisor Name Title
Waud, Roger N. Committee Chair
Lutton, Thomas J. Committee Member
Reed, Brian Committee Member
Wentzler, Nancy A. Committee Member
Keywords
  • ARCH
  • ERM
  • Volatility
  • Foreign Exchange
  • Implied Volatility
Date of Defense 1998-05-01
Availability unrestricted
Abstract
This thesis tests the hypothesis that the qualities of different forecasts of exchange rate volatility depend on the underlying exchange rate regime. By examining the British pound during and after its withdrawal from the European Monetary System (EMS), this analysis compares "backward-looking" historical forecasts of future volatility with the "forward-looking" forecast of volatility reflected in current option prices. Because option implied volatility contains the market's most current expectations about future prices, theory and much previous evidence suggests this should be the superior predictor of future volatility. In contrast to previous research by findings, this study concludes that option implied volatility is not superior. During the time when the pound was in the EMS, implied volatility provided reasonably good forecasts of future volatility. However, after the pound withdrew from the EMS, various statistical measures of historical volatility are found to have greater informational content and predictive power about future actual volatility than implied volatility. In particular, a time series estimate, specifically a GARCH(1,1) model, had the most informational content and predictive power about realized pound volatility, especially in the period following sterling's withdrawal from the EMS.
Files
  Filename       Size       Approximate Download Time (Hours:Minutes:Seconds) 
 
 28.8 Modem   56K Modem   ISDN (64 Kb)   ISDN (128 Kb)   Higher-speed Access 
  fig1.PDF 7.69 Kb 00:00:02 00:00:01 < 00:00:01 < 00:00:01 < 00:00:01
  fig2.PDF 50.45 Kb 00:00:14 00:00:07 00:00:06 00:00:03 < 00:00:01
  fig3.PDF 55.60 Kb 00:00:15 00:00:07 00:00:06 00:00:03 < 00:00:01
  Thesis.PDF 149.45 Kb 00:00:41 00:00:21 00:00:18 00:00:09 < 00:00:01
  ThesisTable1.pdf 4.21 Kb 00:00:01 < 00:00:01 < 00:00:01 < 00:00:01 < 00:00:01
  ThesisTable2.pdf 3.73 Kb 00:00:01 < 00:00:01 < 00:00:01 < 00:00:01 < 00:00:01
  ThesisTable3.pdf 7.12 Kb 00:00:01 00:00:01 < 00:00:01 < 00:00:01 < 00:00:01
  ThesisTable4a&4b.pdf 3.97 Kb 00:00:01 < 00:00:01 < 00:00:01 < 00:00:01 < 00:00:01
  ThesisTable5.pdf 8.26 Kb 00:00:02 00:00:01 00:00:01 < 00:00:01 < 00:00:01
  ThesisTable6.pdf 8.93 Kb 00:00:02 00:00:01 00:00:01 < 00:00:01 < 00:00:01
  ThesisTable7.pdf 11.53 Kb 00:00:03 00:00:01 00:00:01 < 00:00:01 < 00:00:01
  ThesisTable8.pdf 9.30 Kb 00:00:02 00:00:01 00:00:01 < 00:00:01 < 00:00:01

Browse All Available ETDs by ( Author | Department )

dla home
etds imagebase journals news ereserve special collections
virgnia tech home contact dla university libraries

If you have questions or technical problems, please Contact DLA.