New evidence on the information content of implied volatility of S&P 500 : model-free versus model-based
Weiwei Zhang, Tiezhu Sun, Yechi Ma, Zilong Wan
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhang, Weiwei ; Sun, Tiezhu ; Ma, Yechi ; Wang, Zilong |
| Subject: | Implied volatility | VIX | Realized volatility | Information | Volatility forecasts | Volatility models | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Börsenkurs | Share price | Informationswert | Information value | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis |