We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from … structural breaks. In-sample results show that the predictive impact of expected skewness on realized volatility can be both … positive and negative, with these signs contingent on the quantiles of realized volatility. Moreover, we detected statistically …

conditional volatility association of gold, crude oil and yield (or IR) on the ER (the price of US$ in Indian rupee). The daily … theories of market connectivity. The results are as expected (from the previous literature) for conditional volatility, whereas … findings regarding volatility spillover effects (VSE) and are surprising. The findings of the study imply the separation of …

In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic … jump and continuous component from the realized volatility. We also tried to investigate whether dividing volatility into … simple and threshold jumps and continuous variation yields a substantial improvement in volatility forecasting or not. The …

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …