Modeling moneyness volatility in measuring exchange rate volatility

Article


Hoque, Ariful and Krishnamurti, Chandrasekhar. 2012. "Modeling moneyness volatility in measuring exchange rate volatility ." International Journal of Managerial Finance. 8 (4), pp. 365-380. https://doi.org/10.1108/17439131211261279
Article Title

Modeling moneyness volatility in measuring exchange rate volatility

ERA Journal ID19630
Article CategoryArticle
AuthorsHoque, Ariful (Author) and Krishnamurti, Chandrasekhar (Author)
Journal TitleInternational Journal of Managerial Finance
Journal Citation8 (4), pp. 365-380
Number of Pages16
Year2012
Place of PublicationBingley, W Yorks. United Kingdom
ISSN1743-9132
1758-6569
Digital Object Identifier (DOI)https://doi.org/10.1108/17439131211261279
Web Address (URL)http://www.emeraldinsight.com/journals.htm?articleid=17054942&show=abstract
Abstract

Purpose – The purpose of this paper is to introduce a model to measure foreign exchange (FX) rate volatility accurately. The FX rate volatility forecasting is a crucial endeavour in financial markets and has gained the attention of researchers and practitioners over the last several decades. The implied volatility (IV) measure is widely believed to be the best measure of exchange rate volatility. Despite its widespread usage, the IV approach suffers from an obvious chicken-egg problem: obtaining an unbiased IV requires the options to be priced correctly and calculating option prices accurately requires an unbiased IV.

Design/methodology/approach – The authors contribute to the literature by developing a new model for FX rate volatility – the 'moneyness volatility (MV)'. This approach is based on measuring the variability of forward-looking 'moneyness' rather than use of options price. To assess volatility forecasting performance of MV against IV, the in-sample and out-of-sample tests are involved using the F-test, Granger-Newbold test and Diebold-Mariano framework.

Findings – The MV model outperforms the IV in FX rate volatility forecasting ability in both in-sample and out-of-sample tests. The F-test, Granger-Newbold test and Diebold-Mariano test results consistently reveal that MV outperforms IV in estimating as well as forecasting exchange rate volatility for six major currency options. Furthermore, in Mincer-Zarnowitz regressions, MV outperforms IV and time-series models in predicting future volatility.

Originality/value – The authors' pioneering approach in modeling exchange rate volatility has far-reaching implications for academicians, professional traders, and financial risk analysts and managers.

KeywordsDiebold-Mariano test; exchange rates; foreign exchange options; Granger-Newbold test; implied volatility; modelling; moneyness volatility; realized volatility
ANZSRC Field of Research 2020350208. Investment and risk management
350203. Financial econometrics
380203. Economic models and forecasting
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Byline AffiliationsMurdoch University
School of Accounting, Economics and Finance
Institution of OriginUniversity of Southern Queensland
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Krishnamurti, Chandrasekhar. 2009. "Overview of corporate restructuring." Krishnamurti, Chandrasekhar and Vishwanath, S. R. (ed.) Advanced corporate finance. New Delhi, india. Prentice Hall.
Financing a firm's growth
Krishnamurti, Chandrasekhar. 2009. "Financing a firm's growth." Krishnamurti, Chandrasekhar and Vishwanath, S. R. (ed.) Advanced corporate finance. New Delhi, India. Prentice Hall.
Dividend reductions and signaling in an imputation environment
Balachandran, Balasingham, Krishnamurti, Chandrasekhar, Theobald, Michael and Vidanapathirana, Berty. 2009. "Dividend reductions and signaling in an imputation environment ." Benson, Karen (ed.) AsianFA 2009: Asian Finance Association International Conference. Brisbane, Australia 30 Jun - 03 Jul 2009 Brisbane, Australia.
Foreign institutional investors and security returns: evidence from Indian stock exchanges
Ananthanarayanan, Sandhya, Krishnamurti, Chandrasekhar and Sen, Nilanjan. 2009. "Foreign institutional investors and security returns: evidence from Indian stock exchanges ." 7th INFINITI Conference on International Finance 2009 - Credit Markets, Credit Institutions and Macroeconomic Volatility. Dublin, Ireland 08 - 09 Jun 2009 Dublin, Ireland.
When the going gets tough: board capital and survival of new economy IPO firms
Chancharat, Nongnit, Krishnamurti, Chandrasekhar and Tian, Gary. 2009. "When the going gets tough: board capital and survival of new economy IPO firms." Benson, Karen and Ding, David K. (ed.) Asian FA 2009: New Knowledge...for Finance. Brisbane, Australia 30 Jun - 03 Jul 2009 Brisbane, Australia.
When is two really company?: the effects of competition and regulation on corporate governance
Udayasankar, Krishna, Das, Shobha S. and Krishnamurti, Chandrasekhar. 2008. "When is two really company?: the effects of competition and regulation on corporate governance." 12th New Zealand Finance Colloquium. Palmerston North, New Zealand 14 - 15 Feb 2008 Palmerston North, New Zealand.
Lockup expiration, insider selling and bid-ask spreads
Krishnamurti, Chandrasekhar and Thong, Tiong Yang. 2008. "Lockup expiration, insider selling and bid-ask spreads." International Review of Economics and Finance. 17 (2), pp. 230-244. https://doi.org/10.1016/j.iref.2007.06.005
Calibration of biokinetic model for acetate biodegradation using combined respirometric and titrimetric measurements
Hoque, M. A., Aravinthan, V. and Pradhan, N. M.. 2010. "Calibration of biokinetic model for acetate biodegradation using combined respirometric and titrimetric measurements." Bioresource Technology. 101 (5), pp. 1426-1434. https://doi.org/10.1016/j.biortech.2009.07.012
Order aggressiveness of institutional and individual investors
Duong, Huu Nhan, Kalev, Petko and Krishnamurti, Chandrasekhar. 2009. "Order aggressiveness of institutional and individual investors." Pacific-Basin Finance Journal. 17 (5), pp. 533-546. https://doi.org/10.1016/j.pacfin.2009.05.001
Corporate governance and cost of equity: do financial development and legal origin matter?
Tourani-Rad, Alireza, Gupta, Kartick and Krishnamurti, Chandrasekar. 2010. "Corporate governance and cost of equity: do financial development and legal origin matter?" IGIDR 2010: 1st Emerging Markets Finance Conference. Bombay, India 15 - 16 Dec 2010 Mumbai, India.
Can we decode the messages of activated sludge through the respirograms?
Hoque, Muhammad A., Aravinthan, Vasantha and Pradhan, Nishant M.. 2009. "Can we decode the messages of activated sludge through the respirograms?" Water, Air and Soil Pollution: an international journal of environmental pollution. 9 (5/6), pp. 449-459. https://doi.org/10.1007/s11267-009-9238-6
Modeling volatility in foreign currency option pricing
Hoque, Ariful, Chan, Felix and Manzur, Meher. 2009. "Modeling volatility in foreign currency option pricing." Multinational Finance Journal. 13 (1/2), pp. 181-200.
Efficiency of the foreign currency options market
Hoque, Ariful, Chan, Felix and Manzur, Meher. 2008. "Efficiency of the foreign currency options market." Global Finance Journal. 19 (2), pp. 157-170. https://doi.org/10.1016/j.gfj.2008.02.002
Assessment on activated sludge models for acetate biodegradation under aerobic conditions
Hoque, M. A., Aravinthan, V. and Pradhan, N. M.. 2009. "Assessment on activated sludge models for acetate biodegradation under aerobic conditions." Water Science and Technology. 60 (4), pp. 983-994. https://doi.org/10.2166/wst.2009.446
Evaluation of simultaneous storage and growth model to explain aerobic biodegradation of acetate
Hoque, M. A., Aravinthan, V. and Pradhan, N. M.. 2008. "Evaluation of simultaneous storage and growth model to explain aerobic biodegradation of acetate." ISBT 2008: 1st International Society of BioTechnology Conference. Gangtok, India 28 - 30 Dec 2008 Indore, India.
Respirometric and titrimetric techniques for monitoring aerobic biodegradation of surfactant
Hoque, M. A., Aravinthan, V. and Porter, M.. 2008. "Respirometric and titrimetric techniques for monitoring aerobic biodegradation of surfactant." ISBT 2008: 1st International Society of BioTechnology Conference. Gangtok, India 28 - 30 Dec 2008 Indore, India.