shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …

is a shock to uncertainty. The key distinction we draw is between realized volatility – the realization of large shocks … specifications, shocks to realized stock market volatility are contractionary, while shocks to uncertainty have no significant effect … volatility, but the premia associated with shocks to uncertainty have not been statistically different from zero. We argue that …

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we … used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is … that the statistical and economic value of volatility forecasts based on real-time data is comparable to the value of …