forward vol

Martinghoul: Would you mind having a look at what i posted above? Thank you.

 

Hi Martinghoul,

I see your point, but the fact that there are autocorrelation and/or vol of vol doesn't change forward vol. Forward vol is correct just for the moment one derives it. It's a weak way to forecast future volatility but it has to hold since everybody prices volty by the variance.

Masteratwork