Summary: The third essay detects the presence of structural breaks, in the form of mean shifts, in the implied and realized volatilities of S&P 500 returns. When studying the information content of option implied volatility, predictive regressions of future realized volatility using implied volatility are often performed. Since regression inference is strongly affected by presence of mean shifts, as indicated in the first essay, standard regressions should not be used here. We perform robust regressions that can accommodate the breaks in the series. While standard predictive regressions support the unbiasedness and efficiency of the implied volatility, as measured by the VIX index here, as a forecast of future realized volatility, the robust regressions lead to different conclusions. It is shown that the VIX was once a biased forecast, but its performance improves as time goes on. The whole sample results are unreliable due to structural breaks that bias up the OLS estimate. The improvement of VIX's forecasting ability over time may be a result of the market's adaption to the better use of options and the improved efficiency and liquidity of the index options market.