Forecasting Rationality of Implied Volatility - Volatility Risk Premium
Posted: July 29th, 2007, 1:11 pm
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