Are combination forecasts of S&P 500 volatility statistically superior?

Figure 1: Daily VIX index (top panel) and daily SVP 500 index RV estimate
(bottom panel).

between the volatility forecasts.

3.1 Model based forecasts

While the true process underlying the evolution of volatility is not known, a
range of candidate models exist and are chosen so that they span the space
of available model classes. The set of models chosen are based on the models
considered when the informational content of IV has been considered in Koop-
man, Jungbacker and Hol (2004) and BPT (2001) and Becker, Clements and
White (2006). The models chosen include models from the GARCH, Stochastic
volatility (SV), and RV classes. A brief summary of the in-sample fit of the
models will be given in this section³.

GARCH style models employed in this study are similar to those proposed
³For more detailed estimation results see Becker, Clements and White (2006).

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