1985 to 2001 implied volatility estimates for three-month eurodollar interest rates, derived from option prices. The dataset was created by Christopher J. Neely of the Federal Reserve Bank of St. Louis to measure market uncertainty and evaluate predictive power against realized volatility.
Use Cases
- Forecasting realized volatility based on implied volatility measures.
- Analyzing trends in uncertainty about short-term interest rates.
- Investigating the relationship between implied volatility and macroeconomic news events.
- Evaluating the predictive performance of implied volatility as a market expectation metric.
Strengths
- Time series spans 16 years from 1985 to 2001.
- Focuses on a specific financial instrument: three-month eurodollar rates.
- Derived from a recognized source: Federal Reserve Bank of St. Louis.
Limitations
- Column-level documentation is absent; field semantics must be inferred after download.
- Row count is unknown, which may limit suitability assessment.
- Last update date is unknown; freshness unverified.
Provenance
- Source
- Federal Reserve Bank of St. Louis
- Collection Method
- Estimated from option prices.
- Time Range
- 1985 to 2001