Forecasting Volatility - A Comparison Study of Model Based Forecasts and Implied Volatility
Purpose: The purpose is to investigate which of the selected models that forecasts the out-of-sample data most accurate and whether the model based estimators make better forecasts than the implied volatility. Methodology: Trough in-sample data from a Swedish stock index return series and a exchange rate return series, different forecasting models are evaluated to see which one that predicts the
