We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … incorporating monetary policy and shocks with time-varying volatility. The predictability decline is consistent with changes in both … volatility, more persistent shocks with reduced volatility explain the lower predictability …

We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … policy and shocks with time-varying volatility. The decline is consistent with changes in both policy and shock dynamics …. While an increase in the response to inflation in the interest-rate policy rule decreases volatility, more persistent and …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …

of stock market volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate … profits, and the unemployment rate have the highest predictive ability for long-term stock market volatility. While the term … spread and housing starts are leading variables with respect to stock market volatility, for industrial production and the …

This study provides the first examination of the Canadian implied volatility indexes for forecasting future volatility …. Introduced by Montreal exchange in 2010, the model-free implied volatility index for the Canadian stock market, the VIXC …, outperforms the previously used model-based index, the MVX, for forecasting future volatility. The VIXC also provides more …