The primary objective of this paper is to examine the relationship between historical and implied volatility estimates … in order to propose the nature of a model that predicts the future volatility. For this scope, we used non …-overlapping clustering of observed futures volatility and implied volatility estimates from options on futures. Three types of implied …

This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV …) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States … (Germany), HSI (Hong Kong), NIFTY 50 (India), Nikkei 225 (Japan), KOSPI 200 (Korea), SMI (Switzerland), and FTSE 100 (United …

volatility to capture the dynamics of the S&P 500 and three European equity indices. The stochastic volatility models are the … square root variance, GARCH, and log volatility diffusions, and each is augmented with price and volatility jump extensions … that GARCH diffusions augmented with correlated price and volatility jumps outperform other specifications with respect to …

We examine the empirical performance of a spline-based, local volatility surface for the period 2000–2005. Our findings … indicate that the proposed model outperforms the best-performing implied volatility–based model reported in the current …

implied index value and implied volatility whereas the restricted model only solves the implied volatility. Next, this study … for calls. Volatility for calls has no significant effect on the index pricing error. The path-dependent effect on index …

regressions. Asymmetry and tail expectations are found to be subsumed in volatility expectations and significant co …

assets. Each asset volatility smile is modeled according to a density-mixture dynamical model while the same property holds … reconcile single name and index/basket volatility smiles in a consistent framework. Our approach could be dubbed a … multidimensional local volatility approach with vector-state dependent diffusion matrix. The model is quite tractable, leading to a …