This paper tests the information content of historical volatility and implied volatility to forecast future volatility of KOSPI 200 call option. Implied volatility is believed to be informationally superior to historical volatility. But for KOSPI 200 call option, implied volatility to be a poor forecast of subsequent realized volatility.
In this paper the KOSPI 200 closing price and call option price from 7 Jun 97 to 31 Aug 98 are used and found that implied volatility has little correlation with future volatility and it does not incorporate the information contained in recent observation volatility.
On the other hand, the constant interest rate assumption is released and test the correlation of the volatility of excess return and implied volatility.