Accuracy of Implied Volatility in Forecasting VaR
A comparison study reveals that option-implied volatility underestimates risk during market turbulence when estimating risk factor’s volatility in Value-at-Risk (VaR) computation.
Featured in No. 55 on 3 Jul 2024 · 4 days after release
- Released
- 29 Jun 2024
- First featured
- No. 55 · 3 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- SSRN 4880278
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