research · 1 min read
Do Better Volatility Forecasts Help Option Sellers? Six Models on 5-Minute Data Tested
We built six volatility models on 5-minute data, including HAR-IV, HARQ, Realized GARCH, HEAVY and boosted trees, and tested them on 11 symbols from 2018 to 2026. The test asks whether they forecast the next month's volatility better than implied volatility, and whether they improve option selling.
F
FlashAlpha Research
Research
Research
Enterprise
Volatility
OptionSelling
VRP
HAR
Backtesting