I examine the predictability of equity implied volatility from the term structure, and find that forward volatility … levels are biased predictors of future spot implied volatility. I construct options structures which proxy for forward … volatility assets, and show that a long-short portfolio of forward volatility assets produce significantly profitable returns. As …

We investigate the question whether macroeconomic variables contain information about future stock volatility beyond … that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal Reserve …'s Survey of Professional Forecasters predict volatility in a cross-section of 49 industry portfolios. The expectation of higher …

Accurate volatility forecasting is a key determinant for portfolio management, risk management and economic policy. The … the predicted variable is the intra-day realized volatility. The forecasting evaluation is valid for standardized forecast … models with residuals that are leptokurtically and asymmetrically distributed. Hence, the realized volatility forecasting …

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … standardized with its volatility. The statistical properties of the forecast errors point the standardized version as a more …

volatility. The study investigates whether the asymmetric effects of good and bad news on volatility is present and how … distributional assumptions affect the selection of GARCH models. Compared to two widely used historical volatility models, the simple … the forecasts of loan market volatility. The model comparison involves a regression-based approach, loss functions and …

We propose a model that extends the RT-GARCH model by allowing conditional heteroskedasticity in the volatility process …. We show we are able to filter and forecast both volatility and volatility of volatility simultaneously in this simple … setting. The volatility forecast function follows a second-order difference equation as opposed to first-order under GARCH(1 …