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 … volatility has the potential to reflect information that a model-based forecast could not. Specifically, this paper considers two … issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes …