Implied Volatility Forecasting: A Comparison of Different Procedures

Soosung Hwang () and S. E. Satchell

Accounting and Finance Discussion Papers from Faculty of Economics, University of Cambridge

Abstract: The purpose of this paper is to consider how to forecast implied volatility for a selection of UK companies with traded options on their stocks. The authors consider a range of GARCH and log--ARFIMA based models as well as some simple forecasting models. Overall, it is found that a log-ARFIMA model forecasts best of short and long horizons.

Date: 1998-02
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:cam:camafp:98-af38

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