Comparative Analysis of Volatility Forecasting Models for Carbon Emission Market
DOI:
https://doi.org/10.62051/ijgem.v3n2.29Keywords:
EUA, Realized Volatility, Implied Volatility, GARCH ModelAbstract
It's an interesting question to consider whether time series models based on historical data or implied volatilities obtained directly from option prices are more efficient in forecasting future volatilities. According to a study on EUA options, when the forecast horizon is a week, implied volatilities are more efficient in predicting future volatilities. Additionally, the study suggests that the larger the options trading volume, the more information is contained in implied volatilities.
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