Byun, Suk Joon; Rhee, Dong Woo; Kim, Sol - In: International Journal of Managerial Finance 7 (2011) February, pp. 83-100
Purpose – The purpose of this paper is to examine whether the superiority of the implied volatility from a stochastic volatility model over the implied volatility from the Black and Scholes model on the forecasting performance of future realized volatility still holds when intraday data are...
