Improved Volatility Forecasting
Enhancing the Heterogeneous Autoregressive Regression model with new methods for deriving volatility estimators from option price data improves daily stock volatility forecasts.
Featured in No. 41 on 20 Mar 2024 · 1 day after release
- Released
- 19 Mar 2024
- First featured
- No. 41 · 20 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4765262
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