Forecasting stock market volatility and information content of implied volatility index
Author:
Affiliation:
1. Vinod Gupta school of Management, Indian Institute of Technology, Kharagpur, India
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2017.1403557
Reference32 articles.
1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
2. Modeling and Forecasting Realized Volatility
3. On the informational efficiency of S&P500 implied volatility
4. Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
5. Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
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