New measure unlocks hidden insights in derivatives markets for better forecasting.
The article discusses a new way to measure implied volatility in financial markets, which helps predict how much prices might change. The researchers developed a method called corridor implied volatility (CIV) that refines information from options trading. By using this method, they found that CIV can improve forecasts of future price changes and help price risk more accurately. This new measure can be useful for analyzing volatility in different types of assets and time periods.