Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power
This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through it...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Umeå universitet, Företagsekonomi
2020
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172756 |