-affine volatility dynamics. We use extensive empirical data sets to study how infinite-activity Variance Gamma and Normal Inverse … Gaussian jumps with affine and non-affine volatility dynamics improve goodness of fit and option pricing performance. With …

This paper aims to establish trends in intraday volatility in context of the Indian stock market and analyze the impact … of development in the Indian economy on its stock market volatility. One minute tick data of Nifty 50 futures from Jan 1 …, 2011 to Aug 31, 2018 was used for the purpose of this research. Volatility was computed for each day of week and various …

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 …

increase in the idiosyncratic volatility of the underlying stock. This result can not be explained by standard risk factors. It … is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with … idiosyncratic volatility stocks due to their higher arbitrage costs. Controlling for limits to arbitrage proxies reduces the …