forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

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 …

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 …

the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria …. Under symmetric error statistics, our empirical model using the estimated growth factor of volatility through time is … and 250 days. Under asymmetric error statistics, if over-prediction (under-prediction) of volatility is undesirable, the …