Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite … index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most … popular volatility index is VIX, which is a key measure of market expectations of volatility, and hence is a key barometer of …

This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA … standard volatility models, namely GARCH, EGARCH and GJR. We use these alternative daily DJIA market sentiment scores to … examine the relationship between nancial news sentiment scores and the volatility of the DJIA return series. We demonstrate …

dummy approach that includes direct effects on beta risk and on volatility. We find effects in both kinds of risk …

both current and past market returns. Using various time-varying volatility models to accommodate conditional … causality-in-variance is used to analyse if volatility among small traders spills over into spot markets, it is found that …

microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and … other measurement errors. Such noise is called “realized volatility error”. As such errors are ignored, we need to take …