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 … current decisions. Furthermore, hedgers' volatility in Treasury bonds and coffee, and speculators' volatility in gold and S …

of additional tariffs increased, the volatility of the Chinese soybean futures market declined; however, the volatility … volatility of the US soybean futures market. In addition, while the release of multiple tariff increases has had a short …

-ask spreads, trading volumes, and realized volatility in the markets but there remains much unexplained. -- Financial markets …

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 …

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 …

Interest rate volatility, as implied by swaptions prices, rose in all major economic areas between 2001 and early 2004 … structure has flattened. The rise and fall of US dollar implied volatility reflected changes both in expectations of realized … volatility and in the compensation for volatility risk …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

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 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 …