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This is an interim result on a single stock EMC with daily data in 2008-2013.  The volatility forecasting algorithm is wavelet denoising of $\log(r_t^2)$, fitting a long memory autoregressive model based on the MLF autocorrelation fit and predicting volatility for the lifetime of the options.  The following figure shows actual, predicted and implied volatility forecast of the market with days to maturity in the horizontal axis.