• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Inequalities in Health and Healthcare
      • Research on Productivity, Trade, and Growth
      • Behavioral Macro and Complexity
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Alumni
  • Times

00-104/4 - Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility


  • Authors
    Eugenie Hol, University of Birmingham; Siem Jan Koopman, Vrije Universiteit Amsterdam
  • Publication date
    November 21, 2000
  • Keywords
    Forecasting; Implied Volatility; Monte Carlo likelihood method; Stochastic volatility; Stock indice