The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for … and apply a model-independent, historically-consistent method for estimating the ‘fair' volatility surface of an asset … characteristics investors should be concerned with; (2) A review of historic SA index volatility skews and term structure, their …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …