Chuang, Wen-I; Huang, Teng-Ching; Lin, Bing-Huei - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 168-187
In this paper, we evaluate the performance of the ability of Markov-switching multifractal (MSM), implied, GARCH, and historical volatilities to predict realized volatility for both the S&P 100 index and equity options. Some important findings are as follows. First, we find that the ability of...
