---
title: Accuracy of Implied Volatility in Forecasting VaR
url: https://www.ml-quant.com/papers/ssrn/4880278/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4880278
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4880278
featured: 2024-07-03
citations: unknown
topic: Derivatives & Volatility
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4880278
- Identifier: SSRN 4880278
- Released: 2024-06-29
- First featured: Quant Letter No. 55 (2024-07-03): https://www.ml-quant.com/issues/2024-07-03/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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