A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility

Sónia R. Bentes

Physica A: Statistical Mechanics and its Applications, 2015, vol. 424, issue C, 105-112

Abstract: This paper examines the accuracy of implied volatility and GARCH forecasted volatility to predict the behavior of realized volatility. The methodology adopted addresses the information content, the bias, the efficiency and the efficiency forecast of the predictor.

Keywords: Implied volatility; GARCH forecasted volatility; Inefficiency; Out-of-sample forecasting accuracy (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:424:y:2015:i:c:p:105-112

DOI: 10.1016/j.physa.2015.01.020

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