Economics, Econometrics and Finance
8 years ago

Optimal strike prices for volatility forecasting in Italian market revealed!

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RePEc: Research Papers in Economics
The optimal corridor for implied volatility: from calm to turmoil periods
Silvia Muzzioli

Paper Summary

The article explores the best way to predict future stock market volatility in Italy by looking at data from 2005 to 2010. By studying different strike prices, the researchers found the optimal range for making accurate forecasts during both calm and turbulent market periods.

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