Forecasting stock index volatility : comparing implied volatility and the intraday high-low price range

Corrado, Charles and Truong, Cameron 2007, Forecasting stock index volatility : comparing implied volatility and the intraday high-low price range, The journal of financial research, vol. 30, no. 2, Summer, pp. 201-215.

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Title Forecasting stock index volatility : comparing implied volatility and the intraday high-low price range
Author(s) Corrado, Charles
Truong, Cameron
Journal name The journal of financial research
Volume number 30
Issue number 2
Season Summer
Start page 201
End page 215
Publisher Wiley - Blackwell
Place of publication Oxford, England
Publication date 2007
ISSN 0270-2592
1475-6803
Keyword(s) intraday high-low price
volatility indexes
C13
C22
C53
G13
G14
Summary The intraday high–low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high–low range volatility consistently outperforms the other.
Notes Published Online: 22 Jun 2007
Language eng
Field of Research 150205 Investment and Risk Management
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30019578

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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