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A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility
16 references·2 citing·37 second hop
A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility (2015)A comparative analysis of the predictive …Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)Volatility in crude oil futur…The predictive power of implied volatility: Evidence from 35 futures markets (2003)The predictive power of impli…Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…Tests for multiple forecast encompassing (2000)Tests for multiple forecast e…The relation between implied and realized volatility (1998)The relation between implied …Tests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Predicting stock market volatility: A new measure (1995)Predicting stock market volat…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyThe Informational Content of Implied Volatility (1993)The Informational Content of …Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities (1993)Forecasting Stock-Return Vari…Stock market volatility and the information content of stock index options (1992)Stock market volatility and t…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Standard deviations implied in option prices as predictors of future stock price variability (1981)Standard deviations implied i…The information content of option prices and a test of market efficiency (1978)The information content of op…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Does the OVX matter for volatility forecasting? Evidence from the crude oil market (2017)Does the OVX matter for volat…Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting (2015)Evolving Fuzzy-GARCH Approach…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)Rank Correlation Methods. (1957)Pooling of forecasts (2004)Time-Varying Risk Premiums and the Output Gap (2008)Short interest and aggregate stock returns (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The quality of market volatility forecasts implied by S&P 100 index option prices (1998)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Parametric and Nonparametric Volatility Measurement (2010)Applied Economic Forecasting (1967)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Predicting Volatility in the Foreign Exchange Market (1995)Expected Option Returns (2001)Theory of Rational Option Pricing (1973)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Theory of rational option pricing (2005)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A multiple indicators model for volatility using intra-daily data (2005)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

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  • 2003The predictive power of implied volatility: Evidence from 35 futures markets

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198 cited
  • 2000Tests for multiple forecast encompassing107 cited
  • Cited by

    • 2017Does the OVX matter for volatility forecasting? Evidence from the crude oil market29 cited
    • 2015Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting28 cited