This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …

This paper examines how the Fed's monetary policy decisions affect the implied volatility of the S&P 500 index. The … that implied volatility generally decreases after FOMC meetings, while the relationship between target rate surprises and … surprises and implied volatility is mostly driven by the volatility-reducing effects of negative surprises. We further document …

aggregate U.S. stock market on: 1) the volatility predictions of asymmetric time series models, 2) implied volatility, and 3 …) realized volatility. Both asymmetric time series models and implied volatility predict an increase in volatility following … large negative surprise returns and ex post realized volatility normally rises as predicted. However, while asymmetric time …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

in order to investigate the volatility in either of the index. The results of GARCH (1, 1) suggest that the impact of the … previous day volatility in both the spot and future index has impact on the current day volatility. The future market price … volatility has more prominent role to explain the spot market prices as compared to that of the explanatory power of the future …

We introduce and evaluate the NOVIX - an implied volatility index for the Norwegian equity index OBX. NOVIX is created … properties as these two indices. We also evaluate the VIX, VDAX-NEW and NOVIX in terms of volatility forecasting. As a benchmark … model we use a precise HAR model of Corsi (2009) based on high-frequency data. All three implied volatility indices …

volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in … sentiment. Moreover, volatility shocks in either market are also found to have less impact during these periods. These results …

This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock … market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross … spillovers in the system throughout the sample period, but the Chinese market plays the role of a net receiver of volatility …