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Applied Economics Letters Volume 15, 2008 - Issue 1
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Original Articles

Predicting S&P 500 volatility for intermediate time horizons using implied forward volatility

Thorsten M. Egelkraut Agricultural and Resource Economics, Oregan State University, Corvallis, USACorrespondence[email protected]
&
Philip Garcia Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign, Urbana, USA
Pages 31-34 | Published online: 27 Nov 2007

References

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  • Black , F . 1976 . The pricing of commodity contracts . Journal of Financial Economics , 3 : 167 – 79 .
  • Christensen , BJ and Prabhala , NR . 1998 . The relation between implied and realized volatility . Journal of Financial Economics , 50 : 125 – 50 .
  • Fofana , NF and Brorsen , BW . 2001 . GARCH option pricing with implied volatility . Applied Economics Letters , 8 : 335 – 40 .
  • Gwilym , O and Buckle , M . 1997 . Forward/forward volatilities and the term structure of implied volatility . Applied Economics Letters , 4 : 325 – 8 .
  • Harvey , D , Leybourne , S and Newbold , P . 1997 . Testing the equality of prediction mean squared errors . International Journal of Forecasting , 13 : 281 – 91 .
  • Heston , SL . 1993 . A closed solution for options with stochastic volatility with application to bond and currency options . Review of Financial Studies , 6 : 327 – 43 .
  • Poon , SH and Granger , CWJ . 2003 . Forecasting volatility in financial markets: a review . Journal of Economic Literature , 41 : 478 – 539 .
  • Shiller , R . 1981 . Do stock prices move too much to be justified by subsequent changes in dividends? . American Economic Review , 71 : 421 – 36 .

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