0456186 20240103211849.220160207235959.9 84958756722 000374195900041 10.1016/j.econmod.2016.01.014 33 s. P cav_un_epca*02503910264-9993541 (2016)503-514Elsevier wavelet band spectrum regression corridor implied volatility realized volatility fractional cointegration cav_un_auth*0242028 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Baruník Jozef UTIA-B A Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0331300 50 Hlínková M. CZ http://library.utia.cas.cz/separaty/2016/E/barunik-0456186.pdf cav_un_auth*0281000 GBP402/12/G097 GA ČR CZ The literature studying stock index options confirms severe biases and inefficiencies in using implied volatility as a forecast of future volatility. In this paper, we revisit the implied-realized volatility relationship with wavelet band least squares (WBLS) exploring the long memory of volatility, a possible cause of the bias. Using the S/&P 500 and DAX monthly and bi-weekly option prices covering the recent financial crisis, we conclude that the implied-realized volatility relation is driven solely by the lower frequencies of the spectra representing long investment horizons. The findings enable improvement of future volatility forecasts as they support unbiasedness of implied volatility as a good proxy for future volatility in the long run. AH 2017 2 RVO:67985556 http://hdl.handle.net/11104/0260443 cav_un_auth*0308308 Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague IES FSV UK CZ S 2 Article Economics ECONOMICS 1.565 0.319 3.9 0.01001 0.382 3870 0.954 Q2 1.057 364 Q2 28.789 71.6 Q3 Q2 71.614 2016 84958756722 SCOPUS 000374195900041 WOS cav_un_epca*0250391 Economic Modelling 0264-9993 1873-6122 Roč. 54 č. 1 2016 503 514 Elsevier