that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also …Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful … information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility …

Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the … oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC … of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly …

The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … volatility in the options market is not associated with volatility in spot and futures market. However, volatility in spot and … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of …

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds … contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and … foreign exchange futures markets during a turbulent time using the generalized method of moments (GMM). Results indicate a …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

futures. Simpler approaches are also used for comparison purposes like the naïve, OLS and the dynamic multivariate GARCH model … provide higher variance reductions in terms of hedging effectiveness; there is poor correlation among spot and futures, not … coherence and to statistical relationships between spot and futures electricity series. The instability found in various aspects …

In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices … futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a … symmetric model is a better fit when applied to Bitcoin futures returns, and also produces more accurate option prices compared …

days. This study confirms that applying the traditional model to Japan’s Nikkei 225 futures prices produces negative … optimized parameter values. This suggests that the Japanese market is not weak-form efficient in the sense that futures prices …