When I was looking at research-Finance.com,I stumbled upon this one by Andersen, Bollerslev, Christoffersen, and Diebold.
They provide a very interesting look at the volatility forecasting. The piece is largely a summary article that shows what has been done and the results. VERY good! It is part of a forthcoming Handbook of Economic Forecasting edited by Elliott, Granger, and Timmermann.
A warning: it is LONG! 114 pages.
The paper is also available through the UPenn site.
Suggested Citation
Andersen, Torben G., Bollerslev, Tim, Christoffersen, Peter and Diebold, Francis X., "Volatility Forecasting" (February 22, 2005). Penn Institute for Economic Research (PIER), Research Paper Series http://ssrn.com/abstract=678861
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