Varneskov, Rasmus Tangsgaard - School of Economics and Management, University of Aarhus - 2010
market using implied volatility as an exogenous variable in the information set. Observed volatility is separated into its … performance. Implied volatility conveys incremental information about future volatility in both specifications, improving … terms of out-of-sample performance both with and without implied volatility in the information set. A vectorized ARFIMA …