This study delves into the critical aspect of accurately estimating single stock volatility surfaces, a task indispensable for option pricing, risk management, and empirical asset pricing. Utilizing a comprehensive dataset consisting of half a billion daily price observations for options on 499 US individual stocks and the S&P 500, the research investigates the accuracy of diverse methods for constructing volatility surfaces. The comparative evaluation of the three-dimensional kernel smoother by OptionMetrics (IvyDB US file and data reference manual, version 5.2, Rev. 01/27/2022, Computer software manual, New York, 2022), the semi-parametric spline by Figlewski (in: Robert F. Engle (ed) Estimating the implied risk neutral density. Volatility and time series econometrics: Essays in honor, Oxford University Press, Oxford, 2008), and a refined one-dimensional kernel smoother reveals the distinct superiority of the latter. This method consistently outperforms its counterparts across all moneyness, maturity, and liquidity categories, with markedly lower error metrics. The study further uncovers significant distortions in the extraction of Bakshi et al. (Rev Financ Stud 16:101–143, 2003) moments and skewness spanning induced by the noise-infused three-dimensional kernel smoother, which could potentially mislead derivative pricing and trading decisions. The findings offer valuable insights to traders, risk managers, investors, and researchers, suggesting a robust, one-size-fits-all method for crafting more accurate and less noisy volatility predictions. The research advances our understanding of option-implied information, its extraction, and broader implications for financial markets.

本研究深入探讨了准确估计单一股票波动率面的关键方面，这是期权定价、风险管理和经验资产定价不可或缺的任务。该研究利用由 499 只美国个股和标准普尔 500 指数期权的 5 亿条每日价格观察组成的综合数据集，调查了构建波动率表面的多种方法的准确性。OptionMetrics（IvyDB US 文件和数据参考手册，版本 5.2，修订版 01/27/2022，计算机软件手册，纽约，2022）对三维核平滑器的比较评估，Figlewski 的半参数样条（见：罗伯特·F·恩格尔（编）《估计隐含风险中性密度》。波动性和时间序列计量经济学：荣誉论文，牛津大学出版社，牛津，2008 年），精致的一维核平滑器揭示了后者的明显优越性。这种方法在所有货币性、成熟度和流动性类别上始终优于同类方法，并且误差指标明显较低。该研究进一步揭示了 Bakshi 等人的提取中的显着扭曲。(Rev Financ Stud 16:101–143, 2003) 由注入噪声的三维核平滑器引起的矩和偏度跨越，这可能会误导衍生品定价和交易决策。这些发现为交易者、风险管理者、投资者和研究人员提供了宝贵的见解，提出了一种稳健、通用的方法来制定更准确、噪音更少的波动率预测。这项研究增进了我们对期权隐含信息及其提取的理解，