# What are the current gold standards for volatility prediction error?

I'm working on volatility forecasting models for equities and currencies. I am using daily data and am interested in producing forecasts for the next n days. To evaluate model error I am looking at two metrics, mean absolute percentage error and directional accuracy. What are the state of the art benchmarks for these two metrics?

• I don't know. But here is a public source of volatility forecasts vlab.stern.nyu.edu/doc?topic=vlab . See if you can do better. – noob2 Apr 17 '17 at 17:00
• I've seen people using the ratio as error metric, as in Jim's slides, tpq.io/p/rough_volatility_with_python.html – Will Gu Apr 17 '17 at 22:16