Fintwit hive mind: What's the best way to forecast 30-day realized volatility for the S&P 500? Any good review articles of the latest-and-greatest methods? Thx.
Compute intraday variance during trading sessions, add variance due to overnight jumps, smooth 20 days, take square root
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First serious answer I've gotten! VIX term structure not useful? Or any reversion to long-term mean? And do you mean tick data for intraday measurement?
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VIX futs not that useful as they are forwards on 30-day realized variance, so include (i) vol risk premium (forward vol an upward biased estimate of future realized vol) and (ii) variance risk premium (var is convex wrt vol) and both of those are time-varying
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Intraday variance would be 1 min returns variance ?
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I would do 5 or 10 min to avoid microstructure noise but yeah basically
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