Ubukata, Masato; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011
-post VRPs, which are constructed from model-free implied and realized variances, are used to verify the predictability. Moreover …-post VRP, which is defined as the difference between implied and ex-post realized variances, is useful in predicting the Nikkei … 225 returns, whereas the expected VRPs, which are the differences between implied and current or model-based realized …