Forecasting using alternative measures of model‐free option‐implied volatility
评估了多种无模型隐含波动率指标在预测收益和已实现波动率上的表现，发现插值-外推技术能提升预测能力，并基于2003-2013年SPX期权数据验证了结论。
This paper evaluates the performance of various measures of model‐free implied volatility in predicting returns and realized volatility. The critical role of the out‐of‐the money call options is highlighted through an investigation of the relevance of different components of the model‐free implied volatility. The Monte Carlo simulations show that: first, volatility forecasting performance of various measures can be enhanced by employing an interpolation‐extrapolation technique; second, for most measures considered, gains in their predictive power for future returns can be obtained by implementing an interpolation procedure. An empirical application using SPX options recorded from 2003 to 2013 further illustrates these claims.