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 …

The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …

We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in … volatility. In out-of-sample forecasting we find that econometric models based on realized volatility can be improved by … including implied volatility and other variables. Our results show that including implied volatility significantly improves …

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