Capturing Heterogeneity: Machine Learning Approaches to Implied Volatility Forecasting
Tree-based models partition the option surface by moneyness and maturity to forecast volatility, reducing one-month-ahead errors by 13 percent versus benchmark models.
Featured in No. 132 on 25 Sep 2026 · 8 days after release
- Released
- 17 Sep 2026
- First featured
- No. 132 · 25 Sep 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- RePEc:fip:fedgfe:103519
- Authors
- Hyung Joo Kim and Dong Hwan Oh
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).