We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from … structural breaks. In-sample results show that the predictive impact of expected skewness on realized volatility can be both … positive and negative, with these signs contingent on the quantiles of realized volatility. Moreover, we detected statistically …

between technological shocks and stock market volatility using data over a period of more than 140 years. Utilizing annual … regarding future realizations of stock market volatility, both in- and out-of-sample and at both the short and long forecast … horizons. Further economic analysis shows that investment portfolios created by the volatility forecasts obtained from the …

Recent research shows that time-varying volatility plays a crucial role in nonlinear modeling. Contributing to this …-varying volatility, where the volatility component is formulated as a GARCH process. As an applica- tion of our approach, we examine the … stochastic volatility specification using in-sample forecasts, we also show that the DSGE-GARCH is superior in in-sample forecast …