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Modeling and Forecasting Implied Volatility - an Econometric Analysis of the VIX Index*
16 references·1 citing·37 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 1994Comparing Predictive Accuracy5,495 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 1998The relation between implied and realized volatility1,114 cited
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  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 1995Predicting stock market volatility: A new measure538 cited
  • 1993Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities529 cited
  • 1978The information content of option prices and a test of market efficiency

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485 cited
  • 2000Economic and statistical measures of forecast accuracy401 cited
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    • 2009Joint modeling of call and put implied volatility25 cited