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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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
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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https://www.jstor.org/stable/27638860?seq=1 … Bid/ask bounce if you sample to small. Vol signature plots for different assets help find the cutoff. Advantage is this method converges on a estimate of vol faster than GKYX or close to close.
tells all -
@KrisAbdelmessih Have you ever tried to forecast S&P 500 vol for an application like this?https://twitter.com/goldstein_aa/status/1372942767161290763 … - Show replies
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