Shaikh, Imlak; Padhi, Puja - In: Economic Change and Restructuring 47 (2014) 4, pp. 251-274
In this paper, we investigate the forecasting performance of ex-post an ex-ante volatility forecasts against realized return volatility of various time horizon. The competing volatility forecasts are implied volatility, RiskMetrics and GJR-GARCH; the empirical results uncover that implied...