, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …

spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include … ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results … show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a …

pandemic: implied stock market volatility, newspaper-based economic policy uncertainty, twitter chatter about economic … greatly-from an 80 percent rise (relative to January 2020) in two-year implied volatility on the S&P 500 to a 20-fold rise in … forecaster disagreement about UK growth. Third, time paths also differ: implied volatility rose rapidly from late February and …