A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
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To forecast future option prices, autoregressive models of implied volatility derived from observed option prices are commonly employed [see Day and Lewis (1990), and Harvey and Whaley (1992)]. In contrast, the ARCH model proposed by Engle (1982) models the dynamic behavior in volatility,
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美国国家经济研究局创建时间：
1993-11-01
