The stock options implied volatility skew reflects both the structural risk characteristics of the underlying company … default risk. The model can explain as much as 44\% of the cross-sectional variation in implied volatility skew and is …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …

sector, and labor market flexibility. A clear-cut importance of exchange rate volatility cannot be found. Some conclusions …

application I use monthly implied volatility surfaces corresponding to the IBEX 35 index. The estimation results show that the … behavior of the implied volatility surface. These rules are the sticky delta rule and the sticky strike rule. I present a new … specification to test the sticky strike rule, which allows for dynamics in the implied volatility surface. In the empirical …

Purpose: This paper examines the volatility of stock return in Dhaka stock exchange, BangladeshMethodology: Using … normality and the return series are volatility clustering. It is also obvious for study that GARCH family can be used to predict … volatility of stock return in Dhaka stock exchange (DSE) …

Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we …-type models and (2) we price equity volatility risk using factors which go beyond the equity class. These are volatility factors …

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty …