Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
标普 100 波动率预测：隐含波动率与高频收益的增量信息
The information content of implied volatilities and intraday returns is compared, in the context of forecasting index volatility over horizons from 1 to 20 days. Forecasts of two measures of realised volatility are obtained after estimating ARCH models using daily index returns, daily observations of the VIX index of implied volatility and sums of squares of 5-min index returns. The in-sample estimates show that nearly all relevant information is provided by the VIX index…