Becker, Ralf; Clements, Adam E.; McClelland, Andrew - In: Journal of Banking & Finance 33 (2009) 6, pp. 1033-1038
Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts....
