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