This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV …) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States … Kingdom). In-sample volatility forecasts show that both BSIV and MFIV significantly improve the fit of a GJR-GARCH(1,1) model …

follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …Financial market spillovers around the globeThis paper investigates the transmission of return and volatility … contribution from foreign markets is less pronounced in the case of returns than in the case of volatility. Possible gains in terms …