Using CFTC's COT data, both GARCH and PARCH volatility based models found the lagged volatility and news about … volatility from the previous month to be significant in explaining large hedgers' and speculators' volatility. The greater … reliance on the ARCH term for speculators' suggested their greater reliance on past information to extrapolate for their …

This paper focuses on the effects of political uncertainty and the political process on implied stock market volatility … stock market uncertainty, as measured by the VIX volatility index, increases along with positive changes in the probability … of success of the eventual winner. The association between implied volatility and the election probability of the …

primarily due to the pricing of market volatility risk. When volatility risk is priced, expected option returns match the … differential impact of the volatility risk premium on expected option returns, we also find that the market volatility risk premium …. Lastly, we find some portion of OTM put option returns are attributable to the jump risk premium …

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for … individual stock options, equity returns, and interest rates. -- Volatility Smile ; Volatility Smirk ; Implied Volatility … ; Option Pricing ; Portfolio Insurance ; Market Risk …

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …