A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish … display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators …, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately …

The study investigates whether behavioural theory is a superior explanation for short-term return-volatility … relationship than traditional leverage and volatility feedback hypotheses. Using VAR and quantile regression frameworks, the study … shows that behavioural theory explains the relationship better than the leverage and feedback hypotheses. The study supports …

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

undertaken. The analysis shows that volatility is the key parameter to any calibration exercise, by several orders of magnitude …. To maximize the sensitivity to volatility, a simple formulation of Merton's model is proposed that employs deep out … arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure …

captured by the overall stock market volatility and a negative impact of investors" appetite for exposure to credit markets as …