Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

flows, and examines its incremental role in explaining stock return volatility. We suggest that “other information” contains … timely basis than dividends or earnings. The link between “other information” and volatility can be derived from a … Ohlson's (1995) linear information dynamics. Using standardized regressions we find volatility increases when current “other …

. 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 …

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 … of global convexity comes from its left-tail contributions related to crash fears (left-tail volatility), and right …

test for time-varying long-range dependence in prices and volatility" published in Energy Economics 29, pp. 28-36. The …

-to-market-ratio, price-earnings-ratio. The total volatility, idiosyncratic volatility, and beta are not consistent stock return predictors in …