Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/23189
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models (Forthcoming/Available Online)
Authors: Kambouroudis, Dimos S
McMillan, David
Tsakou, Katina
Contact Email: d.s.kambouroudis@stir.ac.uk
Issue Date: 29-Apr-2016
Publisher: Wiley-Blackwell
Citation: Kambouroudis DS, McMillan D & Tsakou K Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models (Forthcoming/Available Online), Journal of Futures Markets.
Abstract: We investigate the information content of implied volatility forecasts for stock index return volatility. Using different autoregressive models, we examine whether implied volatility forecasts contain information for future volatility beyond that in GARCH and realized volatility models. Results show implied volatility follows a predictable pattern and confirm the existence of a contemporaneous relationship between implied volatility and index returns. Individually, implied volatility performs worse than alternate forecasts, however, a model that combines an asymmetric GARCH model with implied and realized volatility through (asymmetric) ARMA models is preferred model for forecasting volatility. This evidence is further supported by consideration of value-at-risk.
Type: Journal Article
URI: http://hdl.handle.net/1893/23189
DOI Link: http://dx.doi.org/10.1002/fut.21783
Rights: This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Accounting and Finance
Accounting and Finance
University of Stirling

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