Martin, Gael M.; Reidy, Andrew; Wright, Jill - Department of Econometrics and Business Statistics, … - 2006
-free implied volatility, such that the forecasting performance of the options market is separated from the issue of … different criteria, the model-free implied volatility is the best performing forecast, overall, of future volatility, with this …. Of the volatility measures considered, the one which is, in turn, best forecast by the option-implied volatility is that …