model-free CBOE volatility index (VIX) does not measure market expectation of volatility but that of a linear moment …-combination. Particularly, VIX undervalues (overvalues) volatility when market return is expected to be negatively (positively) skewed …. Alternatively, we develop a model-free generalized volatility index (GVIX). With no diffusion assumption, GVIX is formulated …

measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies … CAPM beta measurement and forecasting with high frequency returns and evaluates trade-offs between bias and variability …

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous … volatility models. We analyze the distributional properties of the jump measures vis-à-vis the corresponding realized volatility … accuracy of high-frequency volatility models …

This paper examines the relationship between volatility and the probability of occurrence of expected extreme returns … in the Canadian market. Four measures of volatility are examined: implied volatility from firm option prices, conditional … volatility calculated using an EGARCH model, idiosyncratic, and expected shortfall. A significantly positive relationship is …

We analyze the relationship between implied volatility and subsequent equity markets excess returns. We find that high … readings of implied volatility have a strong correlation with positive and economically sizable returns in the subsequent 1, 5 … volatility instead of the implied volatility of at-the-money straddles …