an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the … informativeness of volatility forecasts produced by ARCH models versus the volatility forecasts derived from option prices and in … improving volatility forecasts produced by ARCH and option models and combinations of models. Daily and monthly data are …

This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility …. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

aggregation of GARCH processes of Drost and Nijman (1993). Using Swedish data, our estimation method produces an overall larger …

Current models for predicting volatility do not incorporate information flow and are solely based on historical … predictor of its stock volatility. The results show that future stock volatility is better predicted by our method than the … flow or as an active source for new information influencing future volatility. Our data suggest that semantic content may …

the stock market volatility is compared in both the Anglophone world and the Sinophone world. I find that the stock market … volatility and the number of publicly available global news stories are strongly linked to each other in both languages …. Contemporaneous correlations between news and volatility are positive and highly significant, and regressions tell us that the …

This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …