This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized … volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of … future volatility. It is argued that the concept of corridor implied volatility (CIV) should be used instead of the popular …

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized … volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model …-free option-implied volatility (MFIV) when assessing the fractional cointegrating relation as the latter may introduce bias to the …

called for. The approach is appealing when we consider state space models which feature stochastic volatility, or other non … stochastic volatility feature is particularly relevant when considering high frequency financial series. In addition, we propose … models. We assess the efficiency of our indirect inference estimator for the stochastic volatility model by comparing it with …