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An International Comparison of Implied, Realized, and GARCH Volatility Forecasts

Citations

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Cited by:

  1. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
  2. Dimitrios I. Vortelinos & Konstantinos Gkillas, 2018. "Intraday realised volatility forecasting and announcements," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 88-118.
  3. Qiao, Gaoxiu & Teng, Yuxin & Li, Weiping & Liu, Wenwen, 2019. "Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 133-151.
  4. Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark Wohar, 2020. "Volatility forecasting with bivariate multifractal models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 155-167, March.
  5. Dicle, Mehmet F. & Levendis, John, 2020. "Historic risk and implied volatility," Global Finance Journal, Elsevier, vol. 45(C).
  6. Xu Gong & Boqiang Lin, 2018. "Structural breaks and volatility forecasting in the copper futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 290-339, March.
  7. Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021. "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 464-479.
  8. Han Lin Shang & Yang Yang & Fearghal Kearney, 2019. "Intraday forecasts of a volatility index: functional time series methods with dynamic updating," Annals of Operations Research, Springer, vol. 282(1), pages 331-354, November.
  9. Massimo Guidolin & Erwin Hansen & Gabriel Cabrera, 2023. "Time-Varying Risk Aversion and International Stock Returns," BAFFI CAREFIN Working Papers 23203, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  10. Hollstein, Fabian & Wese Simen, Chardin, 2020. "Variance risk: A bird’s eye view," Journal of Econometrics, Elsevier, vol. 215(2), pages 517-535.
  11. Xiaoxi Liu & Jinming Xie, 2023. "Forecasting swap rate volatility with information from swaptions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 455-479, April.
  12. Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen, 2019. "Predicting the equity market with option-implied variables," The European Journal of Finance, Taylor & Francis Journals, vol. 25(10), pages 937-965, July.
  13. Slim, Skander & Dahmene, Meriam & Boughrara, Adel, 2020. "How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 22-37.
  14. Avraham Turgeman & Claudiu Botoc & Marilen Pirtea & Octavian Jude, 0000. "Modelling Intraday Realized Volatility: The Role Of Vix, Oil And Gold," Proceedings of Economics and Finance Conferences 14115804, International Institute of Social and Economic Sciences.
  15. Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2017. "Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets," Working Papers 201728, University of Pretoria, Department of Economics.
  16. Murat Körs & Mehmet Baha Karan, 2023. "Stock exchange volatility forecasting under market stress with MIDAS regression," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 295-306, January.
  17. Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin, 2017. "Variance risk in commodity markets," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 136-149.
  18. Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
  19. Fassas, Athanasios P. & Papadamou, Stephanos, 2018. "Variance risk premium and equity returns," Research in International Business and Finance, Elsevier, vol. 46(C), pages 462-470.
  20. Ji‐Eun Choi & Dong Wan Shin, 2022. "Parallel architecture of CNN‐bidirectional LSTMs for implied volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1087-1098, September.
  21. Deev, Oleg & Plíhal, Tomáš, 2022. "How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty," Research in International Business and Finance, Elsevier, vol. 60(C).
  22. Oikonomou, Ioannis & Stancu, Andrei & Symeonidis, Lazaros & Wese Simen, Chardin, 2019. "The information content of short-term options," Journal of Financial Markets, Elsevier, vol. 46(C).
  23. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
  24. Degiannakis, Stavros & Filis, George, 2022. "Oil price volatility forecasts: What do investors need to know?," Journal of International Money and Finance, Elsevier, vol. 123(C).
  25. Xu Gong & Boqiang Lin, 2022. "Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 610-640, January.
  26. Symitsi, Efthymia & Symeonidis, Lazaros & Kourtis, Apostolos & Markellos, Raphael, 2018. "Covariance forecasting in equity markets," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 153-168.
  27. Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.
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