Our aim in this paper is to analytically compute the at-the-money second derivative of the Bachelier implied volatility …

valuation, we compare realized volatility, GARCH-based forecasts, range-based estimators, and widely used implied volatility … measures such as the VIX and daily implied volatility averages, benchmarking each against contract-specific implied volatility …, and that the 30-day average implied volatility consistently provides the most reliable predictive performance among the …

between equity returns and implied-volatility proxies. CAI is defined as the difference between the empirical frequency of …

We benchmark the performance of widely used long short-term memory (LSTM) models in predicting standardized implied … volatility (IV) of equity options against a range of alternative time series models. We forecast option prices over the period …