This paper examines the perfomance of several alternative volatility forecasts for the Ibex-35 index. Forecasts include time series (GARCH and GJR models), implied volatility, and composite specifications. We find that implied volatilities yield better results than the conditional models used (GARCH and GJR). However, all are dominated by one composite specification (seasonal GARCH-Implied volatilities), although the differences are not significant.

Key words: forecasting, options, volatility.
JEL classification: G10, G13, G14.