Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 93 papers published and written in the last two decades. This article is written for general readers in...

The long memory characteristic of financial market volatility is well documented and has important implications for volatility forecasting and option pricing. When fitted to the same data, different volatility models calculate the unconditional variance differently and could have very different...

Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 93 papers published and written in the last two decades. This article is written for general readers in...

More and more data, greatly increased computing power, a rising number of research enthusiasts, an increased number of finance journals, and sophisticated techniques have been the characteristics of empirical finance in the past 30 years. Topics of current interest relate to conditional means,...

A comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset returns. The survey found that option-implied volatility provides more accurate forecasts than time-series models. Among the time-series models, no model is a clear...