GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and …Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH-MIDAS to model variance. We also introduce FTSE 100 returns and several macroeconomic variables (UK industrial …

daily data for FTSE. As a benchmark, we use the realized volatility (RV) of FTSE sampled at 5-minute intervals, taken from …The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to ten years of … demeaned daily returns on FTSE, appears to predict the daily RV of FTSE better than either of the two models. Quantile …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

domestic volatility after good shocks but a bad hedge after crashes …

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …