Gavala, Athanasia; Gospodinov, Nikolay; Jiang, Deming - In: Journal of Forecasting 25 (2006) 6, pp. 381-400
In this paper, we investigate the time series properties of S&P 100 volatility and the forecasting performance of different volatility models. We consider several nonparametric and parametric volatility measures, such as implied, realized and model-based volatility, and show that these...
