Implied Volatility Forecasting: A Comparison of Different Procedures

The purpose of this paper is to consider how to forecast implied volatility for a selection of UK companies with traded options on their stocks. The authors consider a range of GARCH and log--ARFIMA based models as well as some simple forecasting models. Overall, it is found that a log-ARFIMA model forecasts best of short and long horizons.

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Year of publication:	1998-02
Authors:	Hwang, S. ; Satchell, S. E.
Institutions:	Faculty of Economics, University of Cambridge

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Series:	Accounting and Finance Discussion Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005647340