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 …

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 … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock …. Also, the study observes a positive return transmission between Japan and Nigeria only, suggesting that, investors could …

volatility in international stock markets. Macroeconomic shocks (negative interest rates in Japan, economic stress in China, a …This paper examines the direction and extent of the asymmetric volatility connectedness among international equity … markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness … among APEC stock markets. The objective is to identify major transmitters of volatility spillovers and assess the magnitude … of different crisis cycles. The results show that the US is the major contributor (69.54%) to volatility spillovers in …

It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …