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Practical issues in forecasting volatility
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DOI：10.2469/faj.v61.n1.2683.png)
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摘要
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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 winner, although a possible ranking is as follows: historical volatility, generalized autoregressive conditional heteroscedasticity, and stochastic volatility. The survey produced some practical suggestions for volatility forecasting.
Keyword:
STOCK-MARKET VOLATILITY
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