We investigate the impact of information trading on predicting variation of implied volatility. First, we find that … informed traders do trade in the index options market. The predicting biases of implied volatilities on the realized volatility … with the predicting variations in implied volatilities. Moreover, the difference between realized and implied volatility …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

, the predictive performance of this new approach outperforms that of prior methods. Applying layering to volatility …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

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 …