We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process.We examine alternative notions of forward implied volatility and the information required to extract these measures from the...

The stationary distribution of a GARCH(1,1) process has a power law decay, under broadly applicable conditions. We study the change in the exponent of the tail decay under temporal aggregation of parameters, with the distribution of innovations held fixed. The parameter transformation we study...

We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process. We examine alternative notions of forward implied volatility and the information required to extract these measures from the...