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.
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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?
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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i.e. there are two sources of bias and unless you have a good model for the size of those biases they add additional noise to your vol forecast
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Binned data would be fine for intraday realized variance, e.g. 5 or 10 min bins. Much smaller than this and your estimates will be biased upward due to microstructure noise (the std deviation equivalent of the Epps effect)
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