Please use this identifier to cite or link to this item:
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:
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
DOI Link:
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

Files in This Item:
File Description SizeFormat 
JoFM Kambouroudis McMillan Tsakou(1).pdf763.35 kBAdobe PDFUnder Embargo until 30/4/2020     Request a copy

Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependant on the depositor still being contactable at their original email address.

This item is protected by original copyright

Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact providing details and we will remove the Work from public display in STORRE and investigate your claim.