Implied volatility from the term structure: a simple analytical approximation

James M. Steeley

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)345-352
Number of pages8
JournalEconomics Letters
Volume57
Issue number3
DOIs
Publication statusPublished - 19 Dec 1997

Keywords

  • term structure
  • interest rates
  • implied volatility

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