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- W2095966212 abstract "Abstract This paper assesses the robustness of the relative performance of spot‐ and options‐based volatility forecasts to the treatment of microstructure noise. Robustness of the results to the method of constructing option‐implied forecasts is also investigated. Using a test for superior predictive ability, model‐free implied volatility, which exploits information in the volatility ‘smile’, and at‐the‐money implied volatility, which does not, are both tested as benchmark forecasts of a range of alternative volatility proxies. The results provide compelling evidence against the model‐free forecast for three Dow Jones Industrial Average stocks, over a 2001–2006 evaluation period. In contrast, the at‐the‐money implied volatility forecast is given strong support for the three equities over this period. Neither benchmark is supported for the S&P500 index. Importantly, the main qualitative results are invariant to the method of noise correction used in measuring future volatility. Copyright © 2008 John Wiley & Sons, Ltd." @default.
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- W2095966212 date "2008-12-16" @default.
- W2095966212 modified "2023-10-10" @default.
- W2095966212 title "Does the option market produce superior forecasts of noise-corrected volatility measures?" @default.
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- W2095966212 doi "https://doi.org/10.1002/jae.1033" @default.
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