Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie - Tinbergen Instituut - 2004
return series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of … volatility which is regarded as an accurate estimator of volatility. The predictive abilities of realised volatility models are …, realised volatility is taken as a proxy for actual volatility and is used for computing the forecast error. A stationary …