Implied Volatility Forecasting: A Comparison of Different Procedures
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.
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|Date of creation:||Feb 1998|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econ.cam.ac.uk/index.htm|
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