This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

We show that incorporating endogenously-determined structural breaks into an asymmetric GARCH model reduces volatility persistence in Bitcoin prices. We find that both good news and bad news have less impact on volatility if structural breaks are incorporated. Hence, our results may indicate...

A variety of historical-volatility, peer-historical-volatility, implied-volatility and blended estimators of stock price volatility are developed and tested for a group of large U.S. companies over roughly a thirty-year window. Longer-term historical estimators (up to fifteen years) are found to...

The first ever explicit formulation of the concept of the option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...

ARFIMA models, as advocated by Jiang and Tian for use in long-term volatility forecasting, are found in a follow-up empirical study to be dominated by a certain simple historical predictor of stock price volatility at a five-year horizon. (This particular historical predictor is not recommended...

• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze the market's expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative...

The aim of this study is to investigate the volatility spillover connectedness between NFTs attention and financial markets. This paper firstly proposes a new direct proxy for the public's attention in the NFT market: the non-fungible tokens attention index (NFTsAI), based on 590m news stories...