Implied Volatility Forecasting: A Comparison of Different Procedures
AbstractThe 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.
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Bibliographic InfoPaper provided by Faculty of Economics, University of Cambridge in its series Accounting and Finance Discussion Papers with number 98-af38.
Date of creation: Feb 1998
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