Information gains from using short‐dated options for measuring and forecasting volatility
研究了利用短期期权数据测量和预测波动率的增益，通过非参数方法估计现货波动率，并结合高频收益数据优化预测，发现组合使用可降低测量误差，但短期期权中未被当前波动率涵盖的信息对预测作用有限。
Summary We study the gains from using short‐dated options for volatility measurement and forecasting. Using option portfolios, we estimate nonparametrically spot volatility under weak assumptions for the underlying asset. This volatility estimator complements existing ones constructed from high‐frequency returns. We show empirically, using the market index and Dow 30 stocks, that combining optimally return and option data can lead to nontrivial gains for volatility forecasting. These gains are due to “diversification” of the measurement error in the two volatility proxies. The information content of short‐dated options, not spanned by the current spot volatility, is of limited relevance for volatility forecasting.