A comparison of implied and realized volatility in the Nordic power forward market
Journal article, Peer reviewed
Accepted version
Permanent lenke
http://hdl.handle.net/11250/2457870Utgivelsesdato
2015Metadata
Vis full innførselSamlinger
Sammendrag
In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied volatility has a positive bias against the realized volatility measure indicating that there is a risk premium imposed by option traders. The results are consistent with previous research in other markets.