Becker, Ralf; Clements, Adam; McClelland, Andrew - National Centre for Econometric Research (NCER) - 2008
-based forecasts in terms of forecast accuracy and relative informational content. Implied volatility is a market determined forecast … issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes …, in contrast to model-based forecasts that employ some degree of smoothing to generate forecasts. Therefore, implied …