Does the option market produce superior forecasts of noise‐corrected volatility measures?
检验了现货和期权波动率预测的相对表现是否受微观结构噪声处理方式的影响，发现对三只道琼斯工业平均指数成分股，无模型隐含波动率预测不如平价隐含波动率，且结果对噪声校正方法稳健。
Abstract This paper assesses the robustness of the relative performance of spot‐ and options‐based volatility forecasts to the treatment of microstructure noise. Robustness of the results to the method of constructing option‐implied forecasts is also investigated. Using a test for superior predictive ability, model‐free implied volatility, which exploits information in the volatility ‘smile’, and at‐the‐money implied volatility, which does not, are both tested as benchmark forecasts of a range of alternative volatility proxies. The results provide compelling evidence against the model‐free forecast for three Dow Jones Industrial Average stocks, over a 2001–2006 evaluation period. In contrast, the at‐the‐money implied volatility forecast is given strong support for the three equities over this period. Neither benchmark is supported for the S&P500 index. Importantly, the main qualitative results are invariant to the method of noise correction used in measuring future volatility. Copyright © 2008 John Wiley & Sons, Ltd.