model-free and risk-neutral, derived from available option data. Depending on its particular definition, each index …

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …

We construct a global implied volatility surface by combining information from the index options of twenty countries …, including global level and slope, U.S. convexity, VIX, SVIX, variance risk premium, and left-tail volatility. The predictability … options markets for risk sharing and information aggregation …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is …Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in …

volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …'s investors. We take a different stance and conjecture that implied volatility comovements can also indicate expected information … volatility have important implications for the nature of information generated by the firm …

volatility of common stocks at the market, industry and firm levels. We find market volatility, on average, is the highest while … firm volatility tends to lead to market and industry volatility series. None long-term trend time series behaviour exists … for all three volatility series and firm volatility is best described by an autoregressive process with regime shifts …

Recent general equilibrium models prescribe predictable dynamics in the volatility surfaces that are implied by … volatilities from over-the-counter options on eight different currencies, quoted against the Euro. We examine implied volatility … describe the surfaces in-sample, and [b] produce forecasts that are superior to hard-to-beat benchmarks that ignore information …

incorporating information from the dynamics in the implied volatility surface of S&P 500 index options. We analyze the economic …We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity …