On the Predictability of the Stock Market Volatility: Does History Matter?
比较了隐含波动率、GARCH模型、历史波动率和交易量指标对瑞士股市指数波动率的预测能力，发现隐含波动率在短期预测中表现更优，而交易量指标在长期预测中占主导地位。
This study compares the performance of the ISD, the GARCH (1,1) , the historical volatility estimates and of two lagged trading volume measures for predicting the Swiss Stock Market Index's (SMI) volatility. The ISD has a superior daily informational content than the GARCH (1,1) estimate and retains unbiased but decreasing explanatory power over up to 20 days ahead horizons. Mean and spread daily volume measures play a significant correcting role when forecasting stock market volatility over daily and longer intervals respectively and clearly dominate the GARCH (1,1) forecasts. Their significance emphasises heterogeneous horizon traders' influence on the SMI volatility time series properties