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英文文献：The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks-竞争性隐含波动率指标的预测表现:个股的情况
英文文献作者：Leonidas Tsiaras
英文文献摘要：
This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and \model-free" implied volatility expectations, the recently proposed corridor implied volatility (CIV) measures are explored. For all pair-wise comparisons, it is found that a CIV measure that is closely related to the model-free implied volatility, nearly always delivers the most accurate forecasts for the majority of the firms. This finding remains consistent for different forecast horizons, volatility definitions, loss functions and forecast evaluation settings.
本研究考察了1996年至2007年道琼斯工业平均指数30个成份股隐含波动率替代指标的信息含量。随着流行的布莱克-斯科尔斯和\无模型“隐含波动率预期，最近提出的走廊隐含波动率(CIV)措施进行了探索。对于所有的两两比较，我们发现CIV测量与无模型隐含波动率密切相关，几乎总是为大多数公司提供最准确的预测。这一发现对不同的预测范围、波动率定义、损失函数和预测评估设置保持一致。
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