New Implied Volatility Measure Outperforms Competitors in Stock Forecasting Accuracy.
The study looked at different ways to predict how volatile individual stocks in the Dow Jones Index would be. They compared three methods: Black-Scholes, model-free, and corridor implied volatility. The corridor implied volatility method that is similar to model-free predictions was the most accurate for most stocks. This was true no matter the time frame, how volatility was defined, or how predictions were evaluated.