Due to the high relevance of 1-day volatility forecasts and the increasing demand for zero-day-to-expiration (0DTE …) options on the S&P 500, the Cboe recently introduced the 1-Day Volatility Index (VIX1D). Compared to the longer …-term volatility indices of the VIX family, it is overall lower and more volatile, shows a weaker negative correlation with the S&P 500 …

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with …-tailed asymmetric densities are taken into account in the conditional volatility, is better than symmetric GARCH. Moreover, it is found …-t density is more appropriate for modeling the Egyptian stock market index volatility …

In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous …. In order to find out outperforming model in general not just in the contexts of studies, volatility models should be …, EWMA), GARCH family models (GARCH, GRJ-GARCH, GARCH, APARCH, NAGARCH, FIGARCH) and Stochastic Volatility model. The …

This paper examines volatility forecasting for the broad market indices of 12 Asian stock markets. After considering … the long memory in volatility and volatility jumps, the paper incorporates local, regional, and global factors into a … heterogeneous autoregressive model for volatility forecasting. Compared to several existing studies, the model produces smaller …