This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic … activity. We construct monthly measures of stock and bond market volatility from daily returns and model volatility as composed … powerful in-sample predictive ability tests, we find that the stock volatility measures and the common factor significantly …

volatility — which are based on the maximum and minimum stock prices within a month. Good (bad) volatility is associated with … that (1) output, employment, and stock price plummet rapidly in response to a bad volatility shock, while their responses … to a good volatility shock are modest, and (2) bad volatility shocks explain the bulk of economic activity and stock …

expectations. A reaction of the monetary policy rule to asset price growth increases welfare under learning …

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …

We document how firm-specific volatility in sales, earnings and employment growth evolved year by year in Japan. Our … volatility measure also indicates the evolution of firm turnover. We find that patterns in firm-specific volatility have changed …. Firm volatility tended to decline during the recovery after 2002. We assess whether the rise in firm turnover and deep …

. We first document that tight financial conditions decrease all conditional quantiles of future output growth in the near …, all conditional quantiles of output growth decrease disproportionately in response to both shocks, and the conditional … distribution of output growth not only shifts but also skews to the left, leading to greater growth vulnerability for 2 to 3 years …