Christensen, Bent Jesper; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2010
We propose a simple model in which realized stock market return volatility and implied volatility backed out of option … properties of strong persistence in volatility and forecastability of future realized volatility from current implied volatility … implied and realized volatility, are accounted for by occasional common level shifts. …