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Implied Volatility Forecasting Realized Volatility
2021This chapter conducts an empirical analysis of IV to forecast the RV through testing hypothesis 1–9. The analysis includes three steps. First, estimate the IV for ATM price of currency options with 1-, 2-, and 3-month maturity during opening, midday, and closing period.
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Forecasting the Volatility of Stock Price Index
Expert Systems with Applications, 2006Accurate volatility forecasting is the core task in the risk management in which various portfolios’ pricing, hedging, and option strategies are exercised. Prior studies on stock market have primarily focused on estimation of stock price index by using financial time series models and data mining techniques.
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A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility
SSRN Electronic Journal, 2004In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
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Neural Network–Based Financial Volatility Forecasting: A Systematic Review
ACM Computing Surveys, 2023Wenbo Ge, Hanna Suominen
exaly
Cryptocurrency Volatility Forecasting Using Commonality in Intraday Volatility
SSRN Electronic Journal, 2023Emmanuel Djanga +2 more
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Forecasting stock price volatility: New evidence from the GARCH-MIDAS model
International Journal of Forecasting, 2020Feng Ma
exaly
Oil price volatility forecasting: Threshold effect from stock market volatility
Technological Forecasting and Social Change, 2022Gaoxiu Qiao, Feipeng Zhang
exaly
Forecasting volatility of Bitcoin
Research in International Business and Finance, 2022Michal Polasik, Peter Molnár
exaly
Cryptocurrency Market Volatility Forecasting
Proceedings of the 2023 6th International Conference on Computers in Management and Business, 2023openaire +1 more source