Implied volatility (IV) reflects both expected empirical volatility and also risk premia. Stochastic variation in …

-to-market, and momentum), and volatility measures (implied, GARCH, and range volatility) …

from 1991 to 1995, using Samp;P 500 index option data and a stochastic volatility model for the Samp;P 500 return process …

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 …