---
title: Nonlinear Forecasting of Volatility
url: https://www.ml-quant.com/papers/ssrn/4547560/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4547560
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4547560
featured: 2023-08-24
citations: unknown
topic: Derivatives & Volatility
---


# Nonlinear Forecasting of Volatility

A new framework for forecasting implied volatility in European put and call options is introduced, using the functional Neural Tangent Kernel estimator to handle the nonlinear and asymmetric dependencies inherent to implied volatility.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4547560
- Identifier: SSRN 4547560
- Released: 2023-08-21
- First featured: Quant Letter No. 13 (2023-08-24): https://www.ml-quant.com/issues/2023-08-24/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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