In this paper we examine the pricing of volatility risk using SPX corridor implied volatility. We decompose model …-free total implied volatility into various components using different segments of the cross section of out-of-the money put and … call option prices. We find that only model-free volatility computed from the cross section of out-of-the-money call option …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …