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This book compares the efficacy of BlackScholes implied volatility with modelfree implied volatility in providing volatility forecasts in the framework of Canadian S&P/TSX 60 stock index option. Insample volatility forecasts show that both MVX and VIXC significantly improve the fit of a GJRGARCH(1,1) model. However, VIXC dominates MVX for predicting future volatility. Outofsample volatility forecasts also indicate that VIXC outperforms MVX for the 1, 5, 10, and 22day forecasting horizons. we also investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices.We find that for time horizons lesser than 10trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts.
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