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Who predicts dollar-rupee volatility better? A tale of two options markets

机译：谁能预测美元兑卢比的波动性更好？两个期权市场的故事

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Purpose - The purpose of this paper is to examine whether volatility implied from dollar-rupee options is an unbiased and efficient predictor of ex post volatility, and to determine which options market is a better predictor of future realized volatility and to ascertain whether the model-free measure of implied volatility outperforms the traditional measure derived from the Black-Scholes-Merton model Design/methodology/approach - The information content of exchange-traded implied volatility and that of quoted implied volatility for OTC options is compared with that of historical volatility and a GARCH(1, l)-based volatility. Ordinary least squares regression is used to examine the unbiasedness and informational efficiency of implied volatility. Robustness of the results is tested by using two specifications of implied volatility and realized volatility and comparison across two markets. Findings - Implied volatility from both OTC and exchange-traded options is found to contain significant information for predicting ex post volatility, but is neither unbiased nor informationally efficient The implied volatility of at-the-money options derived using the Black-Scholes-Merton model is found to outperform the model-free implied volatility (MFIV) across both markets. MFIV from OTC options is found to be a better predictor of realized volatility than MFIV from exchange-traded options. Practical implications - This study throws light on the predictive power of currency options in India and has strong practical implications for market practitioners. Efficient currency option markets can serve as effective vehicles both for hedging and speculation and can convey useful information to the regulators regarding the market participants' expectations of future volatility. Originality/value - This study is a comprehensive study of the informational efficiency of options on an emerging currency such as the Indian rupee. To the author's knowledge, this is one of the first studies to compare the predictive ability of the exchange-traded and OTC markets and also to compare traditional model-dependent volatility with MFIV.
机译：目的-本文的目的是研究美元兑卢比期权所隐含的波动率是否是事后波动率的无偏且有效的预测因子，并确定哪种期权市场可以更好地预测未来实现的波动率，并确定该模型是否能够-隐含波动率的自由度量优于Black-Scholes-Merton模型设计/方法/方法得出的传统度量-将交易所交易的隐含波动率和场外期权的隐含波动率的信息内容与历史波动率和基于GARCH（1，l）的波动率。普通最小二乘回归用于检验隐含波动率的无偏性和信息效率。通过使用两个隐含波动率和实际波动率规范以及两个市场之间的比较来测试结果的稳健性。调查结果-场外交易期权和交易所买卖期权的隐含波动率均包含可预测事后波动率的重要信息，但既无偏见又无信息有效。被发现在两个市场上的表现均优于无模型隐含波动率（MFIV）。与场外交易期权的MFIV相比，OTC期权的MFIV被更好地预测了实际波动。实际意义-这项研究阐明了印度货币期权的预测能力，对市场从业者具有很强的实际意义。高效的货币期权市场可以作为套期保值和投机的有效工具，并且可以向监管机构传达有关市场参与者对未来波动预期的有用信息。原创性/价值-这项研究是对新兴货币（如印度卢比）的期权信息效率的综合研究。据作者所知，这是比较交易所交易市场和场外交易市场的预测能力以及比较传统模型相关波动率和MFIV的首批研究之一。

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