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 …

for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model … outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is …

. 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 …

empirical application aiming at comparing estimates and predictions of the volatility of financial asset returns. The Dynamic …

This article studies the risk forecasting properties of three realized volatility models for three Chinese individual … and account for a larger proportion in realized volatility. Further, I compare the Value-at-risk (VaR) forecasting … performances of three commonly used realized volatility models for the three Chinese stocks. Two-step VaR backtesting shows that a …

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 …