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Applied Economics Letters Volume 4, 1997 - Issue 5
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Original Articles

Forward/forward volatilities and the term structure of implied volatility

Owain Ap Gwilym European Business Management School, University of Wales, Swansea, Wales, UK
&
Mike Buckle European Business Management School, University of Wales, Swansea, Wales, UK
Pages 325-328 | Received 21 Feb 1996, Published online: 02 Nov 2006
 
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Abstract

Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.

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