Ogus, Ayla - EconWPA - 2005
has found that trading based on implied volatility forecasts do not generate positive profits for the S&P 500 index … options but GARCH volatility forecasts do. Trading based on implied volatility forecasts for the S&P 100 index options also … generates profits in excess of transaction costs for the S&P 100 index options hence there is systematic mispricing in the S …