reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the … futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover … results provide evidence in favor of an existing short-run volatility transmission process in agricultural futures markets. …

shocks depress volatility on consecutive days, while negative shocks increase volatility. Announcement-day shocks have small … persistence, but great impacts on volatility in the short run. Investigation into volume data shows that announcement-day volume … dates. Compared with the implied volatility and realized volatility data, we find our model successful in forming both in …

volatility implied in an option's price and the subsequently realized index return volatility. Since these options are traded … illiquid market contain information about future realized volatility over and above the information contained in historical … volatility …