Análisis del comportamiento predictivo de las densidades neutrales al riesgo implícitas en las opciones sobre el Ibex-35

Abstract

The main objective of this paper is to test whether the risk-neutral densities (DNR) implied in the prices of the future options contract on the Spanish Ibex-35 index accurately predict the distribution of future outcomes of the underlying asset. We estimate DNR using both parametric and nonparametric procedures. We find that between 1996 and 2003 we cannot reject the hypothesis that the DNR provide accurate predictions of the distributions of future realisations of the Ibex-35 index at four-week horizon. However, this result is not robust by subperiods. In particular, from October 1996 to February 2000, we find that DNR are not able to consistently predict the actual realisations of returns. In this period, option prices assign a low risk-neutral probability to large rises compared with realisations. Tests based on the tails of the distribution show that DNR significantly understate the right tail of the distribution for both the whole period and the first subperiod.