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UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.

research finance options volatility uqo

Python 66.5% TeX 32.7% Makefile 0.8%

715 B · 12 lines csv

Raw Blame History

1target,model,r2,adj_r2,n_obs,n_features21-Day RV,HAR-RV,0.3585199062249016,0.3585126260818995,264345,331-Day RV,GARCH_proxy,0.3258294941832208,0.32582439411395747,264380,241-Day RV,IV_only,0.3904191647845503,0.3903988918821112,120280,451-Day RV,IV_surface,0.3908328083987763,0.39080211626746275,119093,661-Day RV,HAR-RV + IV_surface,0.44201904790040747,0.44197687707359845,119093,975-Day RV,HAR-RV,0.8881115552871761,0.8881102854677605,264345,385-Day RV,GARCH_proxy,0.6480986274956819,0.6480959653375,264376,295-Day RV,IV_only,0.495379967560757,0.4953631853522369,120280,4105-Day RV,IV_surface,0.4957706353949066,0.4957452304254927,119093,6115-Day RV,HAR-RV + IV_surface,0.8961652931746857,0.896157445603148,119093,912