Predicting S&P 500 volatility for intermediate time horizons using implied forward volatility

Thorsten Egelkraut and Philip Garcia

Applied Economics Letters, 2008, vol. 15, issue 1, pages 31-34

Abstract: This paper finds that the implied forward volatility of S&P 500 futures options contains significant explanatory power regarding sunsequent realized volatility during intermediate future time intervals. It provides rational, unbiased, and informationally efficient predictions and dominates all alternative volatility forecasts considered.

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