A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility
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. In previous studies on this topic,...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2016
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| Texto completo: | http://hdl.handle.net/10071/11256 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/11256 |