The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
隐含波动率对外汇、股票与债券波动率及跳跃预测的作用
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in our information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as an additional forecasting variable. A vector HAR (VecHAR) model for the resulting simultaneous system is…