Wards finance seminar: Dr Fearghal Kearney on implied volatility surface predictability

Wards finance seminar: Dr Fearghal Kearney on implied volatility surface predictability

Issued: Mon, 05 Mar 2018 09:44:00 GMT

Date: Wednesday 7 March 2018
Time: 3pm - 4:30pm
Venue: Wards Library, Main Building
Category: Academic events
Audience: Academic staff and doctoral students
Admission: Free
Registration: N/A

Dr Fearghal Kearney of Queen's University Belfast will present his research entitled 'Implied Volatility Surface Predictability: The Case of Commodity Markets' at Adam Smith Business School on Wednesday 7 March 2018.

Abstract:
We utilise novel functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; Euro/United States Dollar, Euro/British Pound, and Euro/Japanese Yen. The FTS model is shown to produce both realistic and plausible implied volatility shapes that closely match empirical data during the volatile 2006–2013 period. Furthermore, the FTS model significantly outperforms implied volatility forecasts produced by traditionally employed parametric models. The evaluation is performed under both in-sample and out-of-sample testing frameworks with our findings shown to be robust across various currencies, moneyness segments, contract maturities, forecasting horizons, and out-of-sample window lengths. The economic significance of the results is highlighted through the implementation of a simple trading strategy.

Biography:
Dr Fearghal Kearney's research is primarily focused in the area of financial market analysis. His specific interests include: (i) implied volatility forecasting techniques, (ii) empirical finance applications of functional data analysis, and (iii) commodity finance. His work appears in the Journal of Financial Markets, European Journal of Finance, and Economics Letters.


Please email Carol Cairney at business-school-research@glasgow.ac.uk for further information on this event.

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