Choi, Seungmook; Wohar, Mark E - In: The Financial Review 27 (1992) 4, pp. 503-30
This study examines whether or not the volatility of stock index returns forecasted by a GARCH-M specification is consistent with the implied volatility observed in options markets. Recent data for the New York Stock Exchange Composite Index and Standard & Poor's 500 Index and their options are...