This study investigates the role of oil futures price information on forecasting the US stock market volatility using … futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are …

and volatility estimates and forecasts for appropriate risk management, asset allocation and volatility trading. Although … the simplest approach to estimate volatility is to use the historical standard deviation, realized volatility is a more … accurate measure for volatility, since it is based on intraday data. Besides the stylized facts commonly observed in financial …