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Forecasting Rationality of Implied Volatility - Volatility Risk Premium
Hello,A brief description of the topic:In general, the forecasting rationality of implied volatility ist tested by regressing realized volatility on implied volatility. For an efficient forecast, the regression constant should be zero and the slope coefficient should equal one.Does anybody of you know some recent papers on this and related topics ?Best,Christoph
Last edited by obenhuber on July 29th, 2007, 10:00 pm, edited 1 time in total.
Forecasting Rationality of Implied Volatility - Volatility Risk Premium
Google on "volatility risk premium" -- this will not only bring you up to date, but should suggest revisions to your topic.regards,