A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility

This paper examines the accuracy of implied volatility and GARCH forecasted volatility to predict the behavior of realized volatility. The methodology adopted addresses the information content, the bias, the efficiency and the efficiency forecast of the predictor.

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Year of publication:	2015
Authors:	Bentes, Sónia R.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 424.2015, C, p. 105-112
Publisher:	Elsevier
Subject:	Implied volatility \| GARCH forecasted volatility \| Inefficiency \| Out-of-sample forecasting accuracy

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011194039