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- W1517762882 abstract "We compare the incremental information content of implied volatility and intraday high-low range volatility in the context of conditional volatilityforecasts for three major market indexes: the S&P 100, the S&P 500, and the Nasdaq 100. Evidence obtained from out-of-sample volatility forecasts indicates that neither implied volatility nor intraday high-low range volatility subsumes entirely the incremental information contained in the other. Our findings suggest that intraday high-low range volatility can usefully augment conditional volatility forecasts for these market indexes." @default.
- W1517762882 created "2016-06-24" @default.
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- W1517762882 date "2004-06-01" @default.
- W1517762882 modified "2023-09-27" @default.
- W1517762882 title "Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range" @default.
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