The long memory characteristic of financial market volatility is well documentedand has important implications for … volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional … variance differently and could have very different volatility persistentparameters. Hence, they produce very different …

This paper finds that implied volatility is a good predictor of actual volatility in the turbulent period that spans … from January 1996 to November 2001. The monthly-implied volatility and actual volatility of both S&P 100 and NASDAQ index …