Implied Volatility vs. GARCH: A Comparison of Forecasts
Kenneth S. Bartunek
(Department of Finance, College of Business Administration, Florida Atlantic University, Boca Raton, Florida 33431)
Mustafa Chowdhury
(Freddie Mac, McLean, Viginia 22102)
582
Abstract
In this paper we compare three types of forecasts of the volatility of equity returns series. The first is an historical estimate based on a simple sample standard deviation. A second is an estimate found by implying the volatility using the Black‐ Scholes formula. Finally, the third is an estimate obtained by forecasting with an estimated generalized autoregressive conditional heteroscedasticity (GARCH) model.
Citation
Bartunek, K.S. and Chowdhury, M. (1995), "Implied Volatility vs. GARCH: A Comparison of Forecasts", Managerial Finance, Vol. 21 No. 10, pp. 59-73. https://doi.org/10.1108/eb018539
Publisher
:MCB UP Ltd
Copyright © 1995, MCB UP Limited