Abstract
The empirical analysis is conducted for testing hypotheses 1–9 and hypotheses 10–18 in Chaps. 4 and 5, respectively, and a summary of the results is discussed in this chapter to conclude the thesis. The empirical findings in Chap. 4 based on the analysis (a) IV forecast RV for the underlying currency of options for the within-week horizon, (b) IV forecast RV for the underlying currency of options for the 1-week horizon, and (c) IV forecast RV for the underlying currency of options for the 1-month horizon. Further, Chap. 5 provides empirical results based on the analysis (a) IV estimate currency options price for the within-week estimate horizon, (b) IV estimate currency options price for the 1-week estimate horizon, and (c) IV estimate currency options price for the 1-month estimate horizon. The overall results provide four critical insights. First, 3-month maturity IV does not contain vital information about the future volatility of the underlying currency and pricing currency options. Second, IV incorporates all information is not relevant to compute the value of currency options for less than a week estimate horizon. Third, IV of the closing period on Monday and Tuesday subsumes most of the essential information compared to other periods of a trading day and other days of a week to forecast volatility of the underlying currency and estimate the price of currency options. Fourth, the shorter (longer) maturity IV provides essential information to price currency options for the shorter (longer) estimate horizon.
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Le, T. (2021). Conclusion of Thesis. In: Analysing Intraday Implied Volatility for Pricing Currency Options. Contributions to Finance and Accounting. Springer, Cham. https://doi.org/10.1007/978-3-030-71242-6_6
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