TY - JOUR
T1 - Predicting S&P 500 volatility for intermediate time horizons using implied forward volatility
AU - Egelkraut, Thorsten M.
AU - Garcia, Philip
PY - 2008/1
Y1 - 2008/1
N2 - This paper finds that the implied forward volatility of S&P 500 futures options contains significant explanatory power regarding sunsequent realized volatility during intermediate future time intervals. It provides rational, unbiased, and informationally efficient predictions and dominates all alternative volatility forecasts considered.
AB - This paper finds that the implied forward volatility of S&P 500 futures options contains significant explanatory power regarding sunsequent realized volatility during intermediate future time intervals. It provides rational, unbiased, and informationally efficient predictions and dominates all alternative volatility forecasts considered.
UR - http://www.scopus.com/inward/record.url?scp=36749021211&partnerID=8YFLogxK
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U2 - 10.1080/13504850600689915
DO - 10.1080/13504850600689915
M3 - Article
AN - SCOPUS:36749021211
SN - 1350-4851
VL - 15
SP - 31
EP - 34
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 1
ER -