Corrado, Charles J.; Thomas W. Miller, Jr. - In: Journal of Futures Markets 25 (2005) 4, pp. 339-373
We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since...