FORECASTING STOCK INDEX VOLATILITY: COMPARING IMPLIED VOLATILITY AND THE INTRADAY HIGH-LOW PRICE RANGE
The intraday high-low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high-low range volatility consistently outperforms the other. 2007 The Southern Finance Association and the Southwestern Finance Association.
Year of publication: |
2007
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Authors: | Corrado, Charles ; Truong, Cameron |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 30.2007, 2, p. 201-215
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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