The forecast quality of CBOE implied vol
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Charles J. Corrado; Thomas W. Miller; Jr.
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Article
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2005
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John Wiley and Sons
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English
โ 340 KB
We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 199