Title: GARCH-based Volatility Forecasts for Implied Volatility Indices
Abstract: Volatility forecasting is one of the main issues in the financial econometrics literature. Besides the many statistical models proposed throughout the years to estimate and forecast conditional variance, professional operators may rely on alternative indices of volatility supplied by banks, consultants or financial analysts. Among those indices, one of the most widely used is the so-called VXN, computed using the implied volatility of the options written on the NASDAQ–100 Index that is supplied by CBOE since 1995. In this paper we show how forecasts obtained with traditional GARCH–type models can be used to forecast the volatility index VXN.
Publication Year: 2002
Publication Date: 2002-02-27
Language: en
Type: preprint
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Cited By Count: 1
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