Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements

@article{Koopman2004ForecastingDV,
  title={Forecasting Daily Variability of the S\&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements},
  author={Siem Jan Koopman and Borus Jungbacker and Eugenie Hol Uspensky},
  journal={Econometrics eJournal},
  year={2004}
}
This discussion paper resulted in an article in the Journal of Empirical Finance (2005). Vol. 12, issue 3, pages 445-475. The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return series), of… 
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