Implied volatility from the term structure: a simple analytical approximation

James M. Steeley

doi:10.1016/S0165-1765(97)00231-0

Implied volatility from the term structure: a simple analytical approximation

James M. Steeley

Accounting

Research output: Contribution to journal › Article › peer-review

Abstract

I calculate an approximate measure of the implied volatility of interest rates using properties of a simple term structure model. I apply it to the US Treasury bond market and show that it produces unbiased forecasts of future realized volatility.

Original language	English
Pages (from-to)	345-352
Number of pages	8
Journal	Economics Letters
Volume	57
Issue number	3
DOIs	https://doi.org/10.1016/S0165-1765(97)00231-0
Publication status	Published - 19 Dec 1997

Keywords

term structure
interest rates
implied volatility

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10.1016/S0165-1765(97)00231-0

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title = "Implied volatility from the term structure: a simple analytical approximation",

abstract = "I calculate an approximate measure of the implied volatility of interest rates using properties of a simple term structure model. I apply it to the US Treasury bond market and show that it produces unbiased forecasts of future realized volatility.",

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AB - I calculate an approximate measure of the implied volatility of interest rates using properties of a simple term structure model. I apply it to the US Treasury bond market and show that it produces unbiased forecasts of future realized volatility.

KW - term structure

KW - interest rates

KW - implied volatility

UR - http://www.sciencedirect.com/science/article/pii/S0165176597002310

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VL - 57

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EP - 352

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Implied volatility from the term structure: a simple analytical approximation

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Keywords

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