Koopman, Siem Jan; Jungbacker, Borus; Hol Uspensky, Eugenie - 2004
improved volatility measurements but has also inspired research into their potential value as an information source for … volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of …
