The relation between implied and realized volatility
使用更长的时间序列和非重叠数据，发现隐含波动率在预测未来波动率方面优于历史波动率，甚至在某些设定下包含了历史波动率的信息，这与以往研究结论不同。
Previous research finds the volatility implied by S&P 100 index option prices to be a biased and inefficient forecast of future volatility and to contain little or no incremental information beyond that in past realized volatility. In contrast, we find that implied volatility outperforms past volatility in forecasting future volatility and even subsumes the information content of past volatility in some of our specifications. Our results differ from previous studies because we use longer time series and nonoverlapping data. A regime shift around the October 1987 crash explains why implied volatility is more biased in previous work.