Since the introduction of volatility derivatives, there has been growing interest in option implied volatility (IV … long volatility hedge to combine with a long equity position. It is found that such a equity-volatility combination …

forecasts in terms of forecasting asset return volatility. The general theme to come from this body of work is that implied … volatility is a superior forecast. Some authors attribute this to the fact that option markets use a wider information set when … forming their forecasts of volatility. This article considers this issue and determines whether S&P 500 implied volatility …

issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes … information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any …-based forecasts in terms of forecast accuracy and relative informational content. Implied volatility is a market determined forecast …

Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility … model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function … used to estimate the parameters of a volatility model. We find support for the use of intraday data for estimating …

We analyze the puzzling behavior of the volatility of individual stock returns over the past few decades. The … literature has provided many different explanations to the trend in volatility and this paper tests the viability of the … volatility over time lend themselves to explanations about the difference in volatility levels between firms in the cross …

There is a long history of research into the impact of trading activity and information on financial market volatility … information flows on realized volatility. Additionally, the extent to which the volume of the information flow as well as the … sentiment inherent in the news affects volatility is also examined. Both the sentiment and rate of news flow are found to …

Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are … generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive … the loss function under which models of realised volatility are estimated. It is found that employing a utility based …

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of … macroeconomic variables can be easily incorporated into volatility forecasts for share index returns. It transpires that the model … proposed here can lead to significantly improved volatility forecasts compared to traditional GARCH type volatility models. …