Ocena trafności prognoz zmienności indeksu WIG20 konstruowanych na podstawie wybranych modeli klasy GARCH oraz rynkowej zmienności implikowanej
Assessment of the forecasts accuracy of the WIG20 index volatility constructed on the basis of selected models of the GARCH class and market implied v

Summary/Abstract: This article presents the results of a comparative analysis of the accuracy of forecasts based on the chosen forms of the GARCH-type models and on the implied stand-ard deviation of the option on WIG20. The obtained empirical results did not indicate the explicit advantage of any of the presented approaches. The results differed depending on the examined period and the horizon of the forecast. It means that the approach consisting in applying the implied standard deviation has certain value and this problem should be an ob-ject of further research.

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