FORECASTING STOCK INDEX VOLATILITY: COMPARING IMPLIED VOLATILITY AND THE INTRADAY HIGH-LOW PRICE RANGE

The intraday high-low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high-low range volatility consistently outperforms the other. 2007 The Southern Finance Association and the Southwestern Finance Association.