volatility …

This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

We study business uncertainty in high- versus low-volatility environments by surveying over 31,000 managers across 41 … their mean absolute deviations. Analogously, we measure realized volatility using absolute forecast errors. We establish two … new facts. (1) Subjective uncertainty and realized volatility both decline with GDP per capita. (2) Managers underestimate …