04-016/4 - Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements

  • Authors
    Siem Jan Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Borus Jungbacker, Vrije Universiteit Amsterdam; Eugenie Hol, ING Group
  • Publication date
    February 2, 2004
  • Keywords
    Generalised autoregressive conditional heteroskedasticity model; Long memory model; Realised volatility; Stochastic volatility model; Superior predictive ability; Unobserved components
  • JEL
    C22; C53; G15
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