This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …

of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …

predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

This paper examines the relationship between volatility and the probability of occurrence of expected extreme returns … in the Canadian market. Four measures of volatility are examined: implied volatility from firm option prices, conditional … volatility calculated using an EGARCH model, idiosyncratic, and expected shortfall. A significantly positive relationship is …

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …