Download or read book Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options written by Kaushik I. Amin and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the information content of implied volatility from several volatility specifications of the Heath-Jarrow-Morton (1992) (HJM) model relative to popular historical volatility models in the Eurodollar options market. The implied volatility from the HJM models explains much of the variation of realized interest rate volatility over both daily and monthly horizons. The implied volatility dominates the GARCH terms, the Glosten, Jagannathan and Runkle (1993) type asymmetric volatility terms, and the interest rate level. However, it cannot explain that the impact of interest rate shocks on the volatility is lower when interest rates are low than when they are high.