I've seen charts of implied vol (IV) against realized volatility?

What time frames do people generally use to calculate each?

For example, do people generally use ATM 1 month call options to get IV, then compare it with realized volatility 30 days down the line? I.e. get the two time series for IV and realized vol and shift the former back by 30 data points?

What time frame is generally used to calculate realized volatility? A 30 day window, longer, shorter..?

  • $\begingroup$ Yes, a 1 month forward/backward window is commonly used in this type of exercise. $\endgroup$
    – noob2
    Aug 31 '17 at 19:31
  • $\begingroup$ Yes use one month. Also use annualized rates, and remember to consider that you're trading days are roughly 22 in a month not 30 (including weekends will effectively imply zero vol days). $\endgroup$
    – Nick
    Aug 31 '17 at 19:39
  • $\begingroup$ Bollerslev's 2009 paper used 1 month VIX for the implied and 22 trading days of S&P data sampled every 5 minutes for the realized. public.econ.duke.edu/~boller/Published_Papers/rfs_09.pdf $\endgroup$
    – noob2
    Aug 31 '17 at 19:42

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