pandemic: implied stock market volatility, newspaper-based economic policy uncertainty, twitter chatter about economic … greatly-from an 80 percent rise (relative to January 2020) in two-year implied volatility on the S&P 500 to a 20-fold rise in … forecaster disagreement about UK growth. Third, time paths also differ: implied volatility rose rapidly from late February and …

In this paper, we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated … with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically …. Its novelty is in modeling the joint, conditional, return-volatility distribution with an infinite mixture of bivariate …

is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for … relationship is nonlinear. Volatility feedback impacts the whole distribution and not just the conditional mean. …

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market … found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a …, stochastic volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters of volatility …